Change‐Point Estimation of Fractionally Integrated Processes

DOI10.1111/1467-9892.00117zbMATH Open0921.62112OpenAlexW2115467167MaRDI QIDQ4255274FDOQ4255274

Authors: Chih-Chiang Hsu, Chung-Ming Kuan 

Publication date: 10 August 1999

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00117

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zbMATH Keywords

change-point estimationfractional Brownian motionfractionally integrated processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (29)

• Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions
• The S-estimator in the change-point random model with long memory
• Estimating a change point in the long memory parameter
• Spurious regression between long memory series due to mis-specified structural breaks
• Change point in variance of fractionally integrated noise
• Change-point estimation of nonstationary \(I(d)\) processes
• Quantile regression on quantile ranges -- a threshold approach
• A multivariate long-memory model with structural breaks
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• Change point estimation in regressions with \(I(d)\) variables.
• Inference on a structural break in trend with fractionally integrated errors
• Testing for changes in the mean or variance of long memory processes
• LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL
• Fractional integration and structural breaks at unknown periods of time
• Piecewise FARIMA models for long-memory time series
• Forecasting a long memory process subject to structural breaks
• An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
• On rapid change points under long memory
• Estimation of a level shift in panel data with fractionally integrated errors
• Estimation of change point for switching fractional diffusion processes
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Estimating a common break point in means for long-range dependent panel data
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
• Real-time monitoring test for realized volatility
• Testing for a change in mean under fractional integration
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Modelling structural breaks, long memory and stock market volatility: an overview
• Statistical tests for a single change in mean against long-range dependence
• On parameter estimation for locally stationary long-memory processes

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