Testing for changes in the mean or variance of long memory processes

DOI10.1007/s10114-010-7193-9zbMath1206.62085OpenAlexW2070848131MaRDI QIDQ627588

Yun Xia Li, Zhang, Lixin, Jian-Jun Xu

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

zbMATH Keywords

fractional Brownian motioninvariance principlechange-pointmoving-average process

Mathematics Subject Classification ID

Related Items (1)

Monitoring mean and variance change-points in long-memory time series

Cites Work

• 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 and estimating change-points in time series
• Testing for a Structural Break at Unknown Date with Long-memory Disturbances
• Change‐Point Estimation of Fractionally Integrated Processes
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Fractional Brownian Motions, Fractional Noises and Applications
• Testing for changes in the mean or variance of a stochastic process under weak invariance

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