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A test for "long-memory" processes

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1 Author(s)
D. J. Thomson ; Queen's Univ., Kingston, Ont., Canada

This paper describes a multitaper test for long-memory processes against nonstationary alternatives. The test statistic is the largest canonical correlation between the multitaper eigencoefficients computed from data blocks offset in time. It is shown that the "Nile data" is not a long-memory process in the conventional sense, but has some persistent features at higher frequencies.

Published in:

Statistical Signal Processing, 2003 IEEE Workshop on

Date of Conference:

28 Sept.-1 Oct. 2003