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SUMMARY:Locally Optimal Invariant Tests for Perturbed Fractional Integrati
 on
DTSTART;TZID=Europe/London:20260522T141500
DTEND;TZID=Europe/London:20260522T153000
DTSTAMP:20260512T062411Z
UID:2897d98d-6219-f111-8342-7c1e522d9057
CREATED:20260306T140025Z
DESCRIPTION:We develop a class of invariant tests for the null hypothesis 
 that a time series is a martingale dierence sequence against the alternati
 ve that it belongs to the class of perturbed fractionally integrated (long
  memory) processes. The class of tests we develop are indexed by a user-ch
 osen long memory parameter\, d > 0\, and are locally most powerful (under 
 Gaussianity) where the true long memory parameter coincides with this valu
 e. We show that this class of tests contains a number of widely used tests
  as special cases. A complete taxonomy of limiting null distribution theor
 y for the class of statistics (indexed by d) is provided. These distributi
 ons depend on d\, but can be straightforwardly simulated in practice. We a
 lso compare the asymptotic local power properties of the tests under appro
 priate Pitman drift sequences.
LAST-MODIFIED:20260424T145727Z
LOCATION:Manor Road Building - Seminar Room C\, Seminar Room C Manor Road 
 Building Manor Road Oxford Oxfordshire OX1 3UQ United Kingdom
SPEAKER:David Harris
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