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Frequency approach for detecting nonstationarity in dependent data

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Academic year: 2021

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Figure 1: Empirical level evaluated on FARIMA(0,d,0) process as function of the long memory parameter d ∈ (−.5, .5)
Figure 3: Empirical probability to reject the null hypothesis as function of d the parameter of fractional process with d ∈ (−1/2, 3/2)
Figure 4: Empirical cumulative distribution function of the P-value for Q-test for different values of d ∈ (−.5, 1.5)

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