Change point in variance of fractionally integrated noise

DOI10.1007/S00362-023-01490-5MaRDI QIDQ6579428zbMATH OpenFDO

Authors Daiqing Xi, Tian-Xiao Pang

Publication date 25 July 2024

Published in Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

long memoryquasi-maximum likelihood estimatorRosenblatt processchange point in variancefractionally integrated noise

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• An invariance principle for certain dependent sequences
• Central limit theorems for non-linear functionals of Gaussian fields
• Change-of-variance problem for linear processes with long memory
• Cube root asymptotics
• Fractional differencing
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Least squares estimation and tests of breaks in mean and variance under misspecification
• Least-squares estimation of an unknown number of shifts in a time series
• Maximal inequalities for some dependent sequences and their applications
• Monitoring mean and variance change-points in long-memory time series
• On a general approach to the strong laws of large numbers
• Ratio test for variance change point in linear process with long memory
• Structural change in AR(1) models
• Testing and Locating Variance Changepoints with Application to Stock Prices
• Testing for change in long-memory stochastic volatility time series
• Testing for changes in the mean or variance of long memory processes
• The Fractional Unit Root Distribution
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Weak convergence to fractional brownian motion and to the rosenblatt process

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