Detecting changes from short to long memory

DOI10.1007/S00362-009-0292-YMaRDI QIDQ657089zbMATH OpenOpenAlexFDO

Authors Uwe Hassler, Jan Scheithauer

Publication date 13 January 2012

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-009-0292-y

zbMATH Keywords

change point estimationchange in persistenceunknown change point

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Testing for a break in persistence under long-range dependencies
• Change-point detection in long-memory processes
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Testing for structural change in a long-memory environment
• Testing for a change of the density function in long memory processes

Cites work

• A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS
• Alternative forms of fractional Brownian motion
• Bayesian methods for change-point detection in long-range dependent processes
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Detection of change in persistence of a linear time series
• Fractional integration and structural breaks at unknown periods of time
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference for unstable long-memory processes with applications to fractional unit root autoregressions
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Long memory versus structural breaks: an overview
• Modified tests for a change in persistence
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Testing for a break in persistence under long-range dependencies
• Testing for a change of the long-memory parameter
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests of stationarity against a change in persistence
• The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
• Weak convergence of multivariate fractional processes

Cited in

(17)

• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• Estimation methods for the LRD parameter under a change in the mean
• Testing for a change in mean under fractional integration
• Distinguishing between breaks in the mean and breaks in persistence under long memory
• Lack of fit test for long memory regression models
• Changes in persistence, spurious regressions and the Fisher hypothesis
• Change point in variance of fractionally integrated noise
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
• Detecting fuzzy periodic patterns in futures spreads
• Long-memory property of nonlinear transformations of break processes
• Testing for a break in persistence under long-range dependencies
• Nearest neighbors estimation for long memory functional data
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
• Sieve bootstrap monitoring for change from short to long memory
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

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