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arxiv: 1611.08874 · v2 · pith:TSTBDVIPnew · submitted 2016-11-27 · 🧮 math.PR · math.ST· stat.TH

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

classification 🧮 math.PR math.STstat.TH
keywords largememorysampletestactionslengthmathbbnonsingular
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Based on the ratio of two block maxima, we propose a large sample test for the length of memory of a stationary symmetric $\alpha$-stable discrete parameter random field. We show that the power function converges to one as the sample-size increases to infinity under various classes of alternatives having longer memory in the sense of Samorodnitsky(2004). Ergodic theory of nonsingular $\mathbb{Z}^d$-actions play a very important role in the design and analysis of our large sample test.

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