DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
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Publication:4979323
Abstract: This article deals with detection of nonconstant long memory parameter in time series. The null hypothesis presumes stationary or nonstationary time series with constant long memory parameter, typically an I(d) series with d>-.5. The alternative corresponds to an increase in persistence and includes in particular an abrupt or gradual change from I(d_1) to I(d_2).
Recommendations
- Testing and estimating for change in long memory parameter
- Testing for a change of the long-memory parameter
- Detecting changes from short to long memory
- Estimating a change point in the long memory parameter
- Comparison of non-parametric and semi-parametric tests in detecting long memory
- Long Memory in Nonlinear Processes
- A self-normalized semi-parametric test to detect changes in the long memory parameter
- Testing long memory based on a discretely observed process
Cites work
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- Detection of change in persistence of a linear time series
- Estimating a change point in the long memory parameter
- scientific article; zbMATH DE number 1880274 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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Cited in
(13)- Invariance principles for tempered fractionally integrated processes
- Monitoring mean and variance change-points in long-memory time series
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
- Asymptotics of partial sums of linear processes with changing memory parameter
- Discriminating between long-range dependence and non-stationarity
- Constancy test for FARIMA long memory processes
- Comparison of non-parametric and semi-parametric tests in detecting long memory
- Semiparametric detection of changes in long range dependence
- Detecting long-range dependence in non-stationary time series
- Testing and estimating for change in long memory parameter
- Detecting changes from short to long memory
- Sieve bootstrap test for changes between unit root and long memory process with time trend
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