Change-in-mean problem for long memory time series models with applications

DOI10.1080/00949650701216604zbMath1145.62371OpenAlexW2028607548MaRDI QIDQ135938

Lihong Wang, Lihong Wang

Publication date: July 2008

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

Full work available at URL: https://doi.org/10.1080/00949650701216604

zbMATH Keywords

limit distributionchange point

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (10)

Estimation methods for the LRD parameter under a change in the mean ⋮ A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION ⋮ Testing for a change in mean under fractional integration ⋮ Distinguishing between breaks in the mean and breaks in persistence under long memory ⋮ Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ A simple test on structural change in long-memory time series ⋮ memochange ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ Change-in-mean tests in long-memory time series: a review of recent developments

Uses Software

• longmemo

Cites Work

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• Strong approximation for long memory processes with applications
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• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Linear Trend with Fractionally Integrated Errors
• Long-Term Memory in Stock Market Prices
• Moment Inequalities for the Maximum Cumulative Sum
• Testing and estimating for change in long memory parameter

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