Change-in-mean problem for long memory time series models with applications
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Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Recommendations
- Change-point detection in long-memory processes
- Change-point detection with rank statistics in long-memory time-series models
- Testing for changes in the mean or variance of long memory processes
- A simple test of changes in mean in the possible presence of long-range dependence
- Testing and estimating for change in long memory parameter
Cites work
- 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
- 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?)
- 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
(25)- Assessing influence in Gaussian long-memory models
- 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
- Testing for a change in mean under fractional integration
- Long memory and changepoint models: a spectral classification procedure
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- Distinguishing between breaks in the mean and breaks in persistence under long memory
- Change-in-mean tests in long-memory time series: a review of recent developments
- Estimation methods for the LRD parameter under a change in the mean
- Testing for change points in time series models and limiting theorems for NED sequences
- A fixed-b test for a break in level at an unknown time under fractional integration
- scientific article; zbMATH DE number 1944317 (Why is no real title available?)
- scientific article; zbMATH DE number 2154633 (Why is no real title available?)
- Non-parametric change-point tests for long-range dependent data
- Testing and estimating for change in long memory parameter
- Likelihood inference for discriminating between long-memory and change-point models
- Testing for a change of the density function in long memory processes
- Change-Point Estimation in Long Memory Nonparametric Models with Applications
- Change-point detection in long-memory processes
- Testing for changes in the mean or variance of long memory processes
- A CUSUM test for breaks in fractional cointegration
- M-procedures robust to structural changes detection under strong mixing heavy-tailed time series models
- The consistency for CUSUM estimator of mean change-point model based on association
- Change-of-variance problem for linear processes with long memory
- On rapid change points under long memory
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