Estimating a change point in the long memory parameter

DOI10.1111/J.1467-9892.2010.00700.XMaRDI QIDQ4979111zbMATH OpenOpenAlexFDO

Authors Keiko Yamaguchi

Publication date 16 June 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/18520/070econDP10-07.pdf

zbMATH Keywords

change pointlong memorybreak in persistence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Bayesian methods for change-point detection in long-range dependent processes
• Change-point detection in long-memory processes
• Change-point problem and bootstrap
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimators for the Time of Change in Linear Models
• Fractional differencing
• Limit theorems for quadratic forms with applications to Whittle's estimate
• Structural change in AR(1) models
• Testing for a change of the long-memory parameter
• Testing for change points in time series models and limiting theorems for NED sequences
• The asymptotic behavior of some nonparametric change-point estimators

Cited in

(14)

• Synthetic detection of change point and outliers in bilinear time series models
• Data-driven semi-parametric detection of multiple changes in long-range dependent processes
• Asymptotics of partial sums of linear processes with changing memory parameter
• Strictly stationary solutions of ARMA equations with fractional noise
• The S-estimator in the change-point random model with long memory
• Change-Point Estimation in Long Memory Nonparametric Models with Applications
• Change point in variance of fractionally integrated noise
• Structural breaks in time series
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• A new time-varying model for forecasting long-memory series
• Shrinkage estimation of the memory parameter in stationary Gaussian processes
• Monitoring mean and variance change-points in long-memory time series
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Testing and estimating for change in long memory parameter

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