Detecting changes from short to long memory

DOI10.1007/s00362-009-0292-yzbMath1284.62525MaRDI QIDQ657089

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 estimation; change in persistence; unknown change point

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

91B84: Economic time series analysis

62M07: Non-Markovian processes: hypothesis testing

62F05: Asymptotic properties of parametric tests

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