Discrimination between monotonic trends and long-range dependence
- 1 December 1986
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 23 (4) , 1025-1030
- https://doi.org/10.2307/3214476
Abstract
We show that the periodogram behaves differently for a weakly dependent process with a small monotonic trend and a stationary strongly dependent process. In the former case it has a non-central-distribution with noncentrality parameter tending to 0 uniformly outside intervals. In the latter case it has λα−1times a central-distribution, 0 <α< 1.Keywords
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