Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion

DOI10.1016/j.spl.2020.108725zbMath1440.60027arXiv1904.04556OpenAlexW3005770974MaRDI QIDQ2307406

Markus Bibinger

Publication date: 27 March 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.04556

zbMATH Keywords

cusumfractional Brownian motionHurst exponenthigh-frequency datasunspotchange-point test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

Related Items (2)

Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ On the estimation of the jump activity index in the case of random observation times

Uses Software

• SimEstFBM

Cites Work

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• Discretization of processes.
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• Nonparametric goodness-of-fit testing under Gaussian models
• Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion
• Change-point inference on volatility in noisy Itô semimartingales
• The functional Breuer-Major theorem
• Change point estimation based on Wilcoxon tests in the presence of long-range dependence
• Functional limit theorems for generalized quadratic variations of Gaussian processes
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Time Series Regression with a Unit Root
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Cramèr-Rao bounds for fractional Brownian motions
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

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