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

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

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

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 motion; invariance principle; change-point; moving-average process

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

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

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

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