Likelihood inference for discriminating between long-memory and change-point models

DOI10.1111/J.1467-9892.2012.00797.XMaRDI QIDQ5397940zbMATH OpenOpenAlexFDO

Authors Chun Yip Yau, Richard A. Davis

Publication date 25 February 2014

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00797.x

zbMATH Keywords

hypothesis testinglikelihood ratio teststructural breakARFIMA modelchange-pointWhittle likelihoodlong-memory time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3202900 (Why is no real title available?)
• A limit theory for long-range dependence and statistical inference on related models
• Asymptotic Statistics
• Estimation and information in stationary time series
• Estimation in conditionally heteroscedatic time series models.
• Limit theorems for bivariate Appell polynomials. I: Central limit theorems
• Nonstationarity-extended Whittle estimation
• On discriminating between long-range dependence and changes in mean
• Properties of moments of a family of GARCH processes
• Testing for a change in the parameter values and order of an autoregressive model
• Tests for Hurst effect
• The multiple change-points problem for the spectral distribution
• Time series: theory and methods.
• Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
• WHITTLE ESTIMATION OF ARCH MODELS

Cited in

(6)

• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Empirical likelihood testing for memory parameter in Gaussian and non-Gaussion stationary time series
• Fractional integration versus level shifts: the case of realized asset correlations
• Considering long-memory when testing for changepoints in surface temperature: a classification approach based on the time-varying spectrum
• Long memory and changepoint models: a spectral classification procedure
• A multivariate test against spurious long memory

Describes a project that uses

Uses Software

• longmemo

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