Testing Long-Run Properties of Stationary Time Series
提出一种Wald检验方法，用于检验平稳时间序列的长期性质，并专门检验两个时间序列的长期独立性，给出了两个应用实例。
Abstract In this article, a Wald test is developed for testing long-run properties of stationary time series. We specialize the test and consider testing the long-run independence of two time series. We examine two applications of the test for long-run independence. KEY WORDS: Equilibrium probabilitiesMarkov chains, Wald tests