Testing for a change of the long-memory parameter

DOI10.1093/biomet/83.3.627zbMath0866.62055OpenAlexW1966130887MaRDI QIDQ3837369

Publication date: 24 July 1997

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/83.3.627

zbMATH Keywords

functional central limit theorem time series quadratic forms rates of convergence critical values stationarity long-range dependence fractional Gaussian noise change point fractional ARIMA

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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