Estimating a change point in the long memory parameter
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Publication:4979111
DOI10.1111/j.1467-9892.2010.00700.xzbMath1290.62064OpenAlexW2152515421MaRDI QIDQ4979111
Publication date: 16 June 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/18520/070econDP10-07.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)
Related Items (8)
Asymptotics of partial sums of linear processes with changing memory parameter ⋮ A new time-varying model for forecasting long-memory series ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ Strictly stationary solutions of ARMA equations with fractional noise ⋮ DETECTION OF NONCONSTANT LONG MEMORY PARAMETER ⋮ Structural breaks in time series ⋮ Synthetic detection of change point and outliers in bilinear time series models ⋮ Shrinkage Estimation of the Memory Parameter in Stationary Gaussian Processes
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- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Estimators for the Time of Change in Linear Models
- Estimating and Testing Linear Models with Multiple Structural Changes
- Change-point detection in long-memory processes
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