Surgailis, Donatas; Teyssière, Gilles; Vaiciulis, Marijus - In: Journal of Multivariate Analysis 99 (2008) 3, pp. 510-541
We introduce a new statistic written as a sum of certain ratios of second-order increments of partial sums process of observations, which we call the increment ratio (IR) statistic. The IR statistic can be used for testing nonparametric hypotheses for d-integrated () behavior of time series Xt,...