Change-in-mean problem for long memory time series models with applications
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Central limit and other weak theorems (60F05) Non-Markovian processes: hypothesis testing (62M07)
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Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 3553476 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Averaged periodogram estimation of long memory
- Change-of-variance problem for linear processes with long memory
- Fractional differencing
- Gaussian semiparametric estimation of long range dependence
- Limit theorems for functionals of moving averages
- Linear Trend with Fractionally Integrated Errors
- Log-periodogram regression of time series with long range dependence
- Long-Term Memory in Stock Market Prices
- Moment Inequalities for the Maximum Cumulative Sum
- Noncentral limit theorems and Appell polynomials
- Semiparametric analysis of long-memory time series
- Strong approximation for long memory processes with applications
- Testing and estimating for change in long memory parameter
- The effect of long-range dependence on change-point estimators
Cited in
(22)- Testing and estimating for change in long memory parameter
- A fixed-\(b\) test for a break in level at an unknown time under fractional integration
- Testing for changes in the mean or variance of long memory processes
- Change-in-mean tests in long-memory time series: a review of recent developments
- Testing for change points in time series models and limiting theorems for NED sequences
- Likelihood inference for discriminating between long-memory and change-point models
- Estimation methods for the LRD parameter under a change in the mean
- Testing for a change in mean under fractional integration
- Distinguishing between breaks in the mean and breaks in persistence under long memory
- Testing for a change of the density function in long memory processes
- Assessing influence in Gaussian long-memory models
- Change-point detection in long-memory processes
- scientific article; zbMATH DE number 2154633 (Why is no real title available?)
- A simple test of changes in mean in the possible presence of long-range dependence
- A simple test on structural change in long-memory time series
- On rapid change points under long memory
- Change-of-variance problem for linear processes with long memory
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- scientific article; zbMATH DE number 1944317 (Why is no real title available?)
- Non-parametric change-point tests for long-range dependent data
- Change-Point Estimation in Long Memory Nonparametric Models with Applications
- Long memory and changepoint models: a spectral classification procedure
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