Likelihood inference for discriminating between long‐memory and change‐point models
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Publication:5397940
DOI10.1111/j.1467-9892.2012.00797.xzbMath1282.62208MaRDI QIDQ5397940
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
likelihood ratio test; hypothesis testing; structural break; change-point; Whittle likelihood; ARFIMA model; long-memory time series
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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Uses Software
Cites Work
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