Constancy test for FARIMA long memory processes

DOI10.1016/J.JKSS.2010.09.001MaRDI QIDQ458109zbMATH OpenOpenAlexFDO

Authors Okyoung Na, Sangyeol Lee, Jiyeon Lee

Publication date 30 September 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2010.09.001

zbMATH Keywords

change pointQMLElong memory processCUSUM testFARIMA models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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Cites work

• scientific article; zbMATH DE number 4028514 (Why is no real title available?)
• scientific article; zbMATH DE number 2174795 (Why is no real title available?)
• scientific article; zbMATH DE number 795280 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
• Change-point detection in long-memory processes
• Fractional differencing
• Limit theorems for quadratic forms with applications to Whittle's estimate
• Long memory processes and fractional integration in econometrics
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Testing for a break in persistence under long-range dependencies
• Testing for a change of the long-memory parameter
• Testing for change points in time series models and limiting theorems for NED sequences
• The Cusum Test for Parameter Change in Time Series Models
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(1)

• Recent progress in parameter change test for integer-valued time series models

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