Change‐Point Estimation of Fractionally Integrated Processes

DOI10.1111/1467-9892.00117zbMath0921.62112OpenAlexW2115467167MaRDI QIDQ4255274

Chih-Chiang Hsu, Chung-Ming Kuan

Publication date: 10 August 1999

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00117

zbMATH Keywords

fractional Brownian motionchange-point estimationfractionally integrated processes

Mathematics Subject Classification ID

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

Related Items

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Unnamed Item ⋮ Piecewise FARIMA models for long-memory time series ⋮ Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions ⋮ Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points ⋮ Statistical tests for a single change in mean against long-range dependence ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Change-point estimation of nonstationary \(I(d)\) processes ⋮ Quantile Regression on Quantile Ranges - A Threshold Approach ⋮ Real-time monitoring test for realized volatility ⋮ Testing for changes in the mean or variance of long memory processes ⋮ Forecasting a long memory process subject to structural breaks ⋮ Estimation of a level shift in panel data with fractionally integrated errors ⋮ Change point estimation in regressions with \(I(d)\) variables. ⋮ On rapid change points under long memory ⋮ Fractional integration and structural breaks at unknown periods of time ⋮ On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation ⋮ An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes ⋮ LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL ⋮ On parameter estimation for locally stationary long-memory processes ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ A multivariate long-memory model with structural breaks ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ The S-estimator in the change-point random model with long memory