Gradual changes in long memory processes with applications

DOI10.1080/02331880701223555zbMath1116.62098OpenAlexW2094907627MaRDI QIDQ5758160

Lihong Wang

Publication date: 3 September 2007

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880701223555

zbMATH Keywords

long memorylimit distributiongradual changemeteorological and hydrological data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Geostatistics (86A32) Asymptotic properties of parametric tests (62F05)

Related Items (5)

Monitoring mean and variance change-points in long-memory time series ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Change-Point Estimation in Long Memory Nonparametric Models with Applications ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS

Uses Software

• longmemo

Cites Work

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• The effect of long-range dependence on change-point estimators
• Noncentral limit theorems and Appell polynomials
• Gradual changes versus abrupt changes.
• Testing appearance of linear trend
• Semiparametric analysis of long-memory time series
• Effect of dependence on statistics for determination of change
• Strong approximation for long memory processes with applications
• Limit theorems for a class of tests of gradual changes
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Linear Trend with Fractionally Integrated Errors
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES

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