Random Walks Versus Fractional Integration: Power Comparisons of Scalar and Joint Tests of the Variance-Time Function
DOI: 10.1007/978-94-015-7819-6_3
关键词: Multivariate random variable 、 Random element 、 Random compact set 、 Applied mathematics 、 Unit root 、 Random walk 、 Quantum walk 、 Heterogeneous random walk in one dimension 、 Time series 、 Mathematics
摘要: A class of tests for the detection deviations from random-walk behavior in observed time series is examined. The are based on variance-time function, which maps integers k into variance k-th differences a series. Both simple and joint null hypotheses considered, exact finite-sample critical values tabulated. power against fractionally-integrated alternatives, argued to have interesting function interpretations potential importance economics, evaluated.
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