Testing for a change of the long-memory parameter
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- Change-point problems: bibliography and review
- An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
- Asymptotics of partial sums of linear processes with changing memory parameter
- Forecasting a long memory process subject to structural breaks
- Testing for change points in time series models and limiting theorems for NED sequences
- Modelling structural breaks, long memory and stock market volatility: an overview
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- On the properties of the periodogram of a stationary long-memory process over different epochs with applications
- Monitoring the parameter changes in general ARIMA time series models
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- An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
- A multivariate long-memory model with structural breaks
- A generalized ARFIMA process with Markov-switching fractional differencing parameter
- A test of location for data with slowly decaying serial correlations
- scientific article; zbMATH DE number 19003 (Why is no real title available?)
- Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
- Constancy test for FARIMA long memory processes
- Testing constancy of the Hurst exponent of some long memory stationary Gaussian time series
- A new simple test against spurious long memory using temporal aggregation
- Estimating a change point in the long memory parameter
- DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
- Comparison of non-parametric and semi-parametric tests in detecting long memory
- Structural changes estimation for strongly dependent processes
- Bayesian inference for ARFIMA models
- A self-normalized semi-parametric test to detect changes in the long memory parameter
- Semiparametric detection of changes in long range dependence
- Testing and estimating for change in long memory parameter
- Test for Parameter Change in Linear Processes Based on Whittle's Estimator
- How can we Define the Concept of Long Memory? An Econometric Survey
- Change-point detection in long-memory processes
- Some convergence results on quadratic forms for random fields and application to empirical covariances
- Detecting changes from short to long memory
- LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
- Considering long-memory when testing for changepoints in surface temperature: a classification approach based on the time-varying spectrum
- Testing for fractional cointegration in subsamples by allowing for structural breaks
- Multi-dimensional fractional Brownian motion in the G-setting
- Fractional stochastic differential equations with applications to finance
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
- Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process
- Estimating the Hurst effect and its application in monitoring clinical trials
- LASS: a tool for the local analysis of self-similarity
- On rapid change points under long memory
- A two-sample test for comparison of long memory parameters
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