THE DICKEY–FULLER TEST FOR EXPONENTIAL RANDOM WALKS

The Dickey-Fuller-test for exponential random walks

We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the "true" random walk is in the logs. 1 Research supported by Deutsche Forschungsgemeinschaft via SFB 475; we are grateful to Werner Ploberger for h...

The Di key - Fuller - test for exponential random

Random walks on fractals and stretched exponential relaxation.

Stretched exponential relaxation [exp-(t/tau)(beta(K))] is observed in a large variety of systems but has not been explained so far. Studying random walks on percolation clusters in curved spaces whose dimensions range from 2 to 7, we show that the relaxation is accurately a stretched exponential and is directly connected to the fractal nature of these clusters. Thus we find that in each dimens...

Stretched-exponential behavior and random walks on diluted hypercubic lattices.

Diffusion on a diluted hypercube has been proposed as a model for glassy relaxation and is an example of the more general class of stochastic processes on graphs. In this article we determine numerically through large-scale simulations the eigenvalue spectra for this stochastic process and calculate explicitly the time evolution for the autocorrelation function and for the return probability, a...

Random Projection-Based Anderson-Darling Test for Random Fields

In this paper, we present the Anderson-Darling (AD) and Kolmogorov-Smirnov (KS) goodness of fit statistics for stationary and non-stationary random fields. Namely, we adopt an easy-to-apply method based on a random projection of a Hilbert-valued random field onto the real line R, and then, applying the well-known AD and KS goodness of fit tests. We conclude this paper by studying the behavior o...