Change point detection for the mean of long range dependence sequence

MaRDI QIDQ2824889zbMATH OpenFDO

Authors Wenzhi Zhao, Zhiming Xia, Feiyue He

Publication date 6 October 2016

Published in Mathematics in Practice and Theory (Search for Journal in Brave)

zbMATH Keywords

change point in the meanlong range dependenceMonte Carlo methodratio test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Change-point detection for long-range dependent sequences in a general setting
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Cited in

(4)

• Variance change point detection for fractional Brownian motion based on the likelihood ratio test
• Monitoring mean and variance change-points in long-memory time series
• Long signal change-point detection
• Ratio test for mean change-point in infinite variances sequence

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