Change‐Point Estimation of Fractionally Integrated Processes
A change-point estimation problem is considered for the data \(y_t=\mu_1+\eta_t\), \(t=1,\dots,[T\tau_0]\), \(y_t=\mu_2+\eta_t\), \(t=[T\tau_0]+1,\dots,T\), where \(0\leq\tau_0\leq 1\) is the change point, \(\mu_i\) are real numbers and \(\eta_t\) is a fractionally integrated process with fractionally differencing parameter \(d\), \(-0.5<d<0.5\), i.e. \((1-B)^d\eta_t=v_t\), where \(B\) is the back-shift operator and \(v_t\) is some ARMA process. The authors consider the case when \[ T\sum_{t=1}^{[T\tau]}\eta_t\Rightarrow \kappa B_d(t), \] where \(B_d(t)\) is a fractional Brownian motion. The least squares estimator \(\hat\tau_T\) for \(\tau_0\) is considered. It is proved that if \(\tau_0\in[\tau_L,\tau_R]\), then \[ | \hat\tau_T-\tau_0| =O_p(1/T^{0.5-d}(\mu_2-\mu_1)^2). \] If the change-point is absent, then \(\hat\tau\to\text{arg max}_{\tau\in[\tau_L,\tau_R]}\Psi_d(\tau)\), where \[ \psi_d(\tau)=\kappa^2 B_d(\tau)^2/\tau+\kappa^2[B_d(1)-B_d(\tau)]^2/(1-\tau). \] Results of simulations are presented.
- Estimation of change point for switching fractional diffusion processes
- scientific article; zbMATH DE number 1240934
- Fréchet change-point detection
- Change-point estimation of nonstationary I(d) processes
- Change point estimation of the variance of linear processes
- Estimation of change-point models
- Change Point Estimation with Independent Observations and Piece-Wise Continuous Variance Function
- Change-point analysis in nonstationary stochastic models
- scientific article; zbMATH DE number 1916873
- On parameter estimation for locally stationary long-memory processes
- Real-time monitoring test for realized volatility
- Testing for a change in mean under fractional integration
- Change-point estimation of nonstationary I(d) processes
- Estimation of a level shift in panel data with fractionally integrated errors
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- Forecasting a long memory process subject to structural breaks
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
- Modelling structural breaks, long memory and stock market volatility: an overview
- Inference on a structural break in trend with fractionally integrated errors
- Estimation of change point for switching fractional diffusion processes
- Statistical tests for a single change in mean against long-range dependence
- Quantile regression on quantile ranges -- a threshold approach
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- The S-estimator in the change-point random model with long memory
- Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
- Fractional integration and structural breaks at unknown periods of time
- An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
- LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL
- A multivariate long-memory model with structural breaks
- scientific article; zbMATH DE number 1240934 (Why is no real title available?)
- Estimating a change point in the long memory parameter
- Spurious regression between long memory series due to mis-specified structural breaks
- Piecewise FARIMA models for long-memory time series
- Change point estimation in regressions with \(I(d)\) variables.
- Testing for changes in the mean or variance of long memory processes
- Change point in variance of fractionally integrated noise
- Estimating a common break point in means for long-range dependent panel data
- Long-term trends of US county-level extreme ozone concentrations with long memory and changepoint considerations
- Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions
- On rapid change points under long memory
This page was built for publication: Change‐Point Estimation of Fractionally Integrated Processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4255274)
