Change-point detection in long-memory processes

DOI10.1006/jmva.2000.1947zbMath1081.62551OpenAlexW2038780942MaRDI QIDQ5947225

Lajos Horváth

Publication date: 2001

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d495e51cfd8e17a149f07d15dff75db7b7645670

zbMATH Keywords

weak convergenceweight functionBrownian bridgelong-range dependenceWhittle's estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (13)

Testing and estimating for change in long memory parameter ⋮ Testing for change points in time series models and limiting theorems for NED sequences ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ A new process for modeling heartbeat signals during exhaustive run with an adaptive estimator of its fractal parameters ⋮ Constancy test for FARIMA long memory processes ⋮ Serial rank statistics for detection of changes. ⋮ Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process ⋮ Test for Parameter Change in Linear Processes Based on Whittle's Estimator ⋮ A two-sample test for comparison of long memory parameters ⋮ A generalized ARFIMA process with Markov-switching fractional differencing parameter ⋮ Estimating a change point in the long memory parameter ⋮ DETECTION OF NONCONSTANT LONG MEMORY PARAMETER ⋮ Bootstrap testing for discontinuities under long-range dependence

Uses Software

• longmemo

Cites Work

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• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Limit theorems for quadratic forms with applications to Whittle's estimate
• Limit theorems for the union-intersection test
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• A u-i approach to retrospective testing for shifting parameters in a linear model
• Testing for a change of the long-memory parameter

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