On discriminating between long-range dependence and changes in mean

DOI10.1214/009053606000000254zbMath1112.62085arXivmath/0607803OpenAlexW2054254519MaRDI QIDQ2500449

István Berkes, Lajos Horváth, Piotr S. Kokoszka, Qui-Man Shao

Publication date: 24 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0607803

zbMATH Keywords

CUSUMlong-range dependencevariance of the meanchange-point in mean

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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