DETECTION OF NONCONSTANT LONG MEMORY PARAMETER (Q4979323)

scientific article; zbMATH DE number 6306271

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English	DETECTION OF NONCONSTANT LONG MEMORY PARAMETER	scientific article; zbMATH DE number 6306271

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instance of

scholarly article

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title

DETECTION OF NONCONSTANT LONG MEMORY PARAMETER (English)

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20 June 2014

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full work available at URL

https://arxiv.org/abs/1110.5138

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MaRDI profile type

MaRDI publication profile

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cites work

The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes

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Inference for unstable long-memory processes with applications to fractional unit root autoregressions

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Tests of stationarity against a change in persistence

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Alternative forms of fractional Brownian motion

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Q4798635

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Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times

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Q5560061

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Testing for a change of the long-memory parameter

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CUSUM of Squares‐Based Tests for a Change in Persistence

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Asymptotics of partial sums of linear processes with changing memory parameter

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The multiple change-points problem for the spectral distribution

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Nonstationarity-extended local Whittle estimation

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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Detection of change in persistence of a linear time series

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Likelihood inference for a nonstationary fractional autoregressive model

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Limit theorems for quadratic forms with applications to Whittle's estimate

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Change-point detection in long-memory processes

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Detecting changes from short to long memory

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Central limit theorem for linear processes

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Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory

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Estimating a change point in the long memory parameter

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Weak Convergence of Probability Measures on the Function Space $C\lbrack 0, \infty)$

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Convergence of integrated processes of arbitrary Hermite rank

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Nonhomogeneous fractional integration and multifractional processes

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A model for long memory conditional heteroscedasticity.

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ARCH(∞) Models and Long Memory Properties

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Testing for a break in persistence under long-range dependencies

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Large sample inference for long memory processes

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Rescaled variance and related tests for long memory in volatility and levels

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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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Weak convergence of the empirical process and the rescaled empirical distribution function in the Skorokhod product space

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The Invariance Principle for Stationary Processes

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Type I and type II fractional Brownian motions: a reconsideration

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Dependence in probability and statistics.

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Weak convergence of multivariate fractional processes

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Identifiers

zbMATH Open document ID

1290.62062

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DOI

10.1017/S0266466613000303

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4979323