Testing for changes in the mean or variance of long memory processes
DOI10.1007/S10114-010-7193-9zbMATH Open1206.62085OpenAlexW2070848131MaRDI QIDQ627588FDOQ627588
Authors: Yunxia Li, Jian-Jun Xu, Lixin Zhang 
Publication date: 2 March 2011
Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-010-7193-9
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Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Testing and estimating change-points in time series
- Fractional Brownian Motions, Fractional Noises and Applications
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Change in autoregressive processes
- Detection of changes in linear sequences
- Strong approximation for long memory processes with applications
- Testing for a change in the parameter values and order of an autoregressive model
- Testing for structural change in a long-memory environment
- Testing for a Structural Break at Unknown Date with Long-memory Disturbances
- Change‐Point Estimation of Fractionally Integrated Processes
- Testing for changes in the mean or variance of a stochastic process under weak invariance
Cited In (17)
- Testing for changes in the mean or variance of a stochastic process under weak invariance
- The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
- Change point in variance of fractionally integrated noise
- Testing for change in mean for associated random variables
- Title not available (Why is that?)
- Ratio test for variance change point in linear process with long memory
- Testing for a break in persistence under long-range dependencies and mean shifts
- CUSUM test for change point in stochastic trend with stationary process
- Constancy test for FARIMA long memory processes
- Testing for change in long-memory stochastic volatility time series
- Change-point detection in long-memory processes
- Sieve bootstrap monitoring for change from short to long memory
- A simple test on structural change in long-memory time series
- Change-in-mean problem for long memory time series models with applications
- Monitoring mean and variance change-points in long-memory time series
- Testing for a change of the density function in long memory processes
- Change-of-variance problem for linear processes with long memory
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