Constancy test for FARIMA long memory processes

DOI10.1016/j.jkss.2010.09.001zbMath1296.62174MaRDI QIDQ458109

Sangyeol Lee, Okyoung Na, Ji-Yeon Lee

Publication date: 30 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.09.001

zbMATH Keywords

long memory process; QMLE; change point; CUSUM test; FARIMA models

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62L10: Sequential statistical analysis

Related Items

Recent progress in parameter change test for integer-valued time series models

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