A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter

DOI10.1111/jtsa.12444zbMath1421.62134OpenAlexW2907027278WikidataQ128648612 ScholiaQ128648612MaRDI QIDQ5226140

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Publication date: 30 July 2019

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

Full work available at URL: https://doi.org/10.1111/jtsa.12444

zbMATH Keywords

time seriesspectrumself-normalizationlong memory parameterchange-point tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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