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HAL Id: inria-00494803

https://hal.inria.fr/inria-00494803

Submitted on 24 Jun 2010

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Test de comparaison du paramètre de longue mémoire

Frédéric Lavancier, Anne Philippe, Donatas Surgailis

To cite this version:

Frédéric Lavancier, Anne Philippe, Donatas Surgailis. Test de comparaison du paramètre de longue mémoire. 42èmes Journées de Statistique, 2010, Marseille, France, France. �inria-00494803�

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A two-sample test for comparison of long memory parameters

Fr´ed´eric Lavanciera & Anne Philippea & Donatas Surgailisb

a Laboratoire de Math´ematiques Jean Leray, Universit´e de Nantes, France

b Institute of Mathematics and Informatics, Vilnius, Lithuania

Mots cl´es : 1. Processus

2. Statistique math´ematique

1 Introduction

We propose a procedure for testing the null hypothesisd1 =d2 that long memory param- eters di [0,1/2) of two samples of length n, taken from respective stationary processes Xi, i= 1,2, are equal, against the alternatived1 > d2. A natural extension of one-sample test developed in [1] about unknown long memory parameterdis to consider test statistic, Tn of the form

Tn = V1/S11,q

V2/S22,q

+ V2/S22,q

V1/S11,q

, (1)

where Vi/Sii,q is computed from sample (Xi(1), . . . , Xi(n)) (i = 1,2). Here, Vi is the empirical variance of partial sums ofXi

Vi = n−2

n

X

k=1 k

X

t=1

(Xi(t)X¯i)

!2

n−3

n

X

k=1 k

X

t=1

(Xi(t)X¯i)

!2

. (2)

Sii,q is the Newey-West or HAC estimator of the long-run variance of Xi (see [3]) Sij,q =

q

X

h=−q

1 |h|

q+ 1

!

ˆ

γij(h), (3)

whereγij(h) are the empirical cross covariances of samples (X1(1), . . . , X1(n)) and (X2(1), . . . , X2(n)).

From [1], one easily derives the asymptotic null distribution T of the statistic Tn

under the condition that the two samples are independent. It is also easy to show that 1

(3)

for d1 6=d2, one of the ratios in (1) tends to infinity and the other one to zero, meaning that the test is consistent against the alternatived1 6=d2.

However, independence of the two samples is too restrictive and may be unrealistic in many applications. In order to eliminate the eventual dependence between samples, a modification ˜Tn of (1) is proposed, which uses residual observations ( ˜X1(1), . . . ,X˜1(n)), obtained by regressing partial sums ofX1 on partial sums of X2.

X˜1(t) = X1(t)(S12,q/S22,q)X2(t), t= 1, . . . , n. (4) The statistics ˜Tn is defined as follows

T˜n = V˜1/S˜11,q

V2/S22,q

+ V2/S22,q

V˜1/S˜11,q

. (5)

V˜1,S˜11,q are the statistics in (2), (3), respectively, whereX1(t), t= 1,· · ·, n is replaced by X˜1(t), t = 1,· · ·, n.

2 Asymptotic properties of T˜n

Consider the class of bivariate linear models ((X1(t), X2(t)), tZ) given by Xi(t) =

X

k=0

ψi1(k)ξ1(tk) +

X

k=0

ψi2(k)ξ2(tk), i= 1,2, (6) where

ψij(k)∼ |k|dij−1 (k→ ∞), and dij (0,1/2).

1(t), ξ2(t)), tZ is a bivariate (weak) white noise with nondegenerate covariance matrix

1 ρξ

ρξ 1

!

. (7)

Let q=qn → ∞ and n/qn→ ∞ asn → ∞.

Under these conditions, the statistic ˜Tn satisfies the following convergence results : (i) If d1 =d2 =d then

T˜n law T ,˜ (8)

where the distribution of ˜T only depends on (d1, d2).

(ii) Ifd1 > d2 then

T˜n p ∞. (9)

2

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3 Testing procedure

Lettα(d) denote the upper α−quantile of the r.v. ˜T defined in (8) when ρ= 0), viz.

α =P( ˜T > tα(d)), α(0,1). (10)

Let dˆ= ( ˆd1+ ˆd2)/2, (11)

where ˆdi is an estimator of di satisfying

dˆidi =op(1/logn) (i= 1,2). (12) Similarly to [1], it can be proved that the quantile function tα(d) is continuous in d [0,1/2) for any α (0,1). Therefore, the estimated quantile tα( ˆd) p tα(d) as n → ∞ and the asymptotic level of the tests associated to the critical regions in (13) is preserved by replacingtα(d) by tα( ˆd).

Testing the equality of the memory parameters in the case of possibly dependent samples.

We wish to test the null hypothesis d1 =d2 against the alternative d1 > d2 in the general case whenX1 andX2 are possibly dependent. The decision rule atα−level of significance is the following: we reject the null hypothesis when

T˜n> tα( ˆd). (13)

The consistency of this test is ensured by the result given in section 2.

Bibliographie

[1] Giraitis L., Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit roots for a wide class of dependent errors. Econometric Theory 21, 989–1029.

[2] Lavancier, F., Philippe, A., Surgailis, D., 2009. Covariance function of vector self- similar process. Statist. Probab. Letters 79, 2415–2421.

[3] Abadir, K., Distaso, W., Giraitis, L., 2009. Two estimators of the long-run variance:

beyond short memory. Journal of Econometrics 150, 56–70.

3

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