A large sample test for the length of memory of stationary symmetric stable random fields via nonsingular Z^d-actions

Authors

Ayan Bhattacharya, Centrum Wiskunde & Informatica
Parthanil Roy, Indian Statistical Institute Bangalore

Article Type

Research Article

Publication Title

Journal of Applied Probability

Abstract

Based on the ratio of two block maxima, we propose a large sample test for the length of memory of a stationary symmetric α-stable discrete parameter random field. We show that the power function converges to 1 as the sample-size increases to ∞ under various classes of alternatives having longer memory in the sense of Samorodnitsky (2004). Ergodic theory of nonsingular Zd-actions plays a very important role in the design and analysis of our large sample test.

First Page

179

Last Page

195

DOI

10.1017/jpr.2018.12

Publication Date

3-1-2018

Comments

All Open Access, Green

Recommended Citation

Bhattacharya, Ayan and Roy, Parthanil, "A large sample test for the length of memory of stationary symmetric stable random fields via nonsingular Z^d-actions" (2018). Journal Articles. 1449.
https://digitalcommons.isical.ac.in/journal-articles/1449