Testing for a break in persistence under long-range dependencies

DOI10.1111/J.1467-9892.2009.00611.XzbMath1221.62128OpenAlexW2027353672MaRDI QIDQ135936

Philipp Sibbertsen, Robinson Kruse, Philipp Sibbertsen, Robinson Kruse

Publication date: May 2009

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

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-381.pdf

zbMATH Keywords

CUSUMlong memoryARFIMA(p,d,q) processsquares-based test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Related Items (20)

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Uses Software

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Cites Work

• Tests of stationarity against a change in persistence
• Detection of change in persistence of a linear time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a change of the long-memory parameter
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Tests for a change in persistence against the null of difference‐stationarity
• CUSUM of Squares‐Based Tests for a Change in Persistence

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