EngineeringPhysicsStochastic ProcessesTime Series AnalysisHypothesis TestingNoiseStationarity AnalysisFractional Gaussian NoiseHurst Exponent EstimationWhite Noise
We consider the power of tests for distinguishing between fractional Gaussian noise and white noise of a first-order autoregressive process. Our tests are based on the beta-optimal principle (Davies, 1969), local optimality and the rescaled range test.
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