Nonlinear and Nonstationary Time Series
Abstract
This chapter addresses hypothesis testing for long memory Gegenbauer processes, developing unit root tests based on state space quasi-maximum likelihood estimation. Building on the Jansson and Nielsen (2012) framework, two types of tests are constructed: tests for the Gegenbauer frequency parameter u to distinguish between standard long memory (u=1) and generalized GARMA processes (u
Fields of Study & Subjects
Statistical and numerical algorithms
Financial Risk and Volatility Modeling
Time Series Analysis and Forecasting
Publication details
- Pages
- 91–105
- Publication date
- 8 January 2026
- Language
- EN
- Document type
- Book chapter