Semiparametric detection of changes in long range dependence

DOI10.1111/JTSA.12448MaRDI QIDQ5237527zbMATH OpenOpenAlexFDO

Authors Štěpána Lazarová, Fabrizio Iacone

Publication date 18 October 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://eprints.whiterose.ac.uk/140249/1/Semiparametric_detection_of_changes_in_long_range_dependence_First_Revision_With_Figures.pdf

zbMATH Keywords

long memoryMonte Carlo methodpersistencebreaklocal Whittle estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A fixed-b test for a break in level at an unknown time under fractional integration
• A test against spurious long memory
• An I(d) model with trend and cycles
• An efficient taper for potentially overdifferenced long-memory time series
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Consistent estimation of the memory parameter for nonlinear time series
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Detection of change in persistence of a linear time series
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Gaussian semiparametric estimation of long range dependence
• Limit theorems for quadratic forms with applications to Whittle's estimate
• Modified tests for a change in persistence
• Nonstationarity-extended local Whittle estimation
• Robust automatic bandwidth for long memory
• Testing for a break in persistence under long-range dependencies
• Testing for a change of the long-memory parameter
• Testing for a rational bubble under long memory
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of stationarity against a change in persistence

Cited in

(3)

• Data-driven semi-parametric detection of multiple changes in long-range dependent processes
• Long memory or structural changes: an empirical examination on inflation rates
• Monitoring mean and variance change-points in long-memory time series

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