Testing and estimating for change in long memory parameter

DOI10.1080/10629360500107766MaRDI QIDQ5290898zbMATH OpenOpenAlexFDO

Authors Lihong Wang, Jinde Wang

Publication date 3 May 2006

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360500107766

zbMATH Keywords

change-point estimationlong memoryasymptotic property

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Bayesian methods for change-point detection in long-range dependent processes
• Change-point detection in long-memory processes
• Limit theorems for functionals of moving averages
• Limit theorems for quadratic forms with applications to Whittle's estimate
• Noncentral limit theorems for quadratic forms in random variables having long-range dependence
• Semiparametric analysis of long-memory time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a change of the long-memory parameter

Cited in

(15)

• Data-driven semi-parametric detection of multiple changes in long-range dependent processes
• Testing constancy of the Hurst exponent of some long memory stationary Gaussian time series
• Estimating a change point in the long memory parameter
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• Structural changes estimation for strongly dependent processes
• Special Issue of the \textit{Journal of Time Series Analysis} in honour of the 35th anniversary of the publication of Geweke and Porter-Hudak (1983): guest editors' introduction
• Change-point detection with rank statistics in long-memory time-series models
• A new simple test against spurious long memory using temporal aggregation
• Change-point detection in long-memory processes
• Change-in-mean problem for long memory time series models with applications
• A self-normalized semi-parametric test to detect changes in the long memory parameter
• Testing for a change of the long-memory parameter
• Testing for a change of the density function in long memory processes
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Change-of-variance problem for linear processes with long memory

Describes a project that uses

Uses Software

• longmemo

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