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In this paper, we make use of the information measure introduced by Mokkadem (1997) for building a goodness-of-fit test for long-range dependent processes. Our test statistic is performed in the frequency domain and writes as a non linear functional of the normalized periodogram. We establish the asymptotic distribution of our statistic under the null hypothesis. Under specific alternative hypotheses, we prove that the power converges to one. The performance of our test procedure is illustrated...
In this paper, we make use of the information measure introduced
by Mokkadem (1997) for building a goodness-of-fit test for
long-range dependent processes.
Our test statistic is performed in the frequency domain and writes as
a non linear functional of the normalized periodogram. We establish
the asymptotic distribution of our statistic under the null
hypothesis. Under specific alternative hypotheses, we prove that the power
converges to one. The performance of our test procedure is
illustrated...
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