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

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

zbMATH Keywords

likelihood ratio test; hypothesis testing; structural break; change-point; Whittle likelihood; ARFIMA model; long-memory time series

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

Related Items

Fractional integration versus level shifts: the case of realized asset correlations, Long memory and changepoint models: a spectral classification procedure, A multivariate test against spurious long memory, On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation

Uses Software

• longmemo

Cites Work

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