Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Convergence rate of a test statistics observed by the longitudinal data with long memory

  • Kim, Yoon Tae (Department of Finance and Information Statistics, Hallym University) ;
  • Park, Hyun Suk (Department of Finance and Information Statistics, Hallym University)
  • Received : 2017.05.25
  • Accepted : 2017.08.29
  • Published : 2017.09.30
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Abstract

This paper investigates a convergence rate of a test statistics given by two scale sampling method based on $A\ddot{i}t$-Sahalia and Jacod (Annals of Statistics, 37, 184-222, 2009). This statistics tests for longitudinal data having the existence of long memory dependence driven by fractional Brownian motion with Hurst parameter $H{\in}(1/2,\;1)$. We obtain an upper bound in the Kolmogorov distance for normal approximation of this test statistic. As a main tool for our works, the recent results in Nourdin and Peccati (Probability Theory and Related Fields, 145, 75-118, 2009; Annals of Probability, 37, 2231-2261, 2009) will be used. These results are obtained by employing techniques based on the combination between Malliavin calculus and Stein's method for normal approximation.

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Acknowledgement

Supported by : National Research Foundation of Korea

References

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