Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process

DOI10.1016/J.CRMA.2008.05.007zbMATH Open1140.62067arXiv0712.1456OpenAlexW2089693868MaRDI QIDQ935366FDOQ935366

Imen Kammoun, Jean-Marc Bardet

Publication date: 6 August 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Abstract: In this paper, an estimator of $m$ instants ($m$ is known) of abrupt changes of the parameter of long-range dependence or self-similarity is proved to satisfy a limit theorem with an explicit convergence rate for a sample of a Gaussian process. In each estimated zone where the parameter is supposed not to change, a central limit theorem is established for the parameter's (of long-range dependence, self-similarity) estimator and a goodness-of-fit test is also built. {it To cite this article: J.M. Bardet, I. Kammoun, C. R. Acad. Sci. Paris, Ser. I 340 (2007).}

Full work available at URL: https://arxiv.org/abs/0712.1456

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18)

Cites Work

• Detection of multiple changes in a sequence of dependent variables
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• Testing for a change of the long-memory parameter
• Wavelet analysis and synthesis of fractional Brownian motion
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• The multiple change-points problem for the spectral distribution
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• Title not available (Why is that?)

Cited In (2)

• A new process for modeling heartbeat signals during exhaustive run with an adaptive estimator of its fractal parameters
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