Testing for a change of the long-memory parameter
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Publication:3837369
DOI10.1093/biomet/83.3.627zbMath0866.62055OpenAlexW1966130887MaRDI QIDQ3837369
Publication date: 24 July 1997
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/83.3.627
functional central limit theoremtime seriesquadratic formsrates of convergencecritical valuesstationaritylong-range dependencefractional Gaussian noisechange pointfractional ARIMA
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)
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