Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process

DOI10.1016/j.crma.2008.05.007zbMath1140.62067arXiv0712.1456OpenAlexW2089693868MaRDI QIDQ935366

Imen Kammoun, Jean-Marc Bardet

Publication date: 6 August 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.1456

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18)

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