Likelihood inference for discriminating between long-memory and change-point models
DOI10.1111/J.1467-9892.2012.00797.XzbMATH Open1282.62208OpenAlexW1900456343MaRDI QIDQ5397940FDOQ5397940
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
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Cites Work
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- Time series: theory and methods.
- Asymptotic Statistics
- Limit theorems for bivariate Appell polynomials. I: Central limit theorems
- Tests for Hurst effect
- A limit theory for long-range dependence and statistical inference on related models
- Testing for a change in the parameter values and order of an autoregressive model
- On discriminating between long-range dependence and changes in mean
- Estimation and information in stationary time series
- WHITTLE ESTIMATION OF ARCH MODELS
- Properties of moments of a family of GARCH processes
- Title not available (Why is that?)
- Estimation in conditionally heteroscedatic time series models.
- The multiple change-points problem for the spectral distribution
- Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
- Nonstationarity-extended Whittle estimation
Cited In (6)
- Empirical likelihood testing for memory parameter in Gaussian and non-Gaussion stationary time series
- Considering long-memory when testing for changepoints in surface temperature: a classification approach based on the time-varying spectrum
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
- Long memory and changepoint models: a spectral classification procedure
- A multivariate test against spurious long memory
- Fractional integration versus level shifts: the case of realized asset correlations
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