Testing for a break in persistence under long-range dependencies and mean shifts

DOI10.1007/S00362-010-0342-5zbMath1440.62326OpenAlexW2012275361WikidataQ122603527 ScholiaQ122603527MaRDI QIDQ452309

Juliane Willert, Philipp Sibbertsen

Publication date: 20 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-422.pdf

zbMATH Keywords

long memorystructural breaklevel shiftbreak in persistence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Estimation methods for the LRD parameter under a change in the mean ⋮ Cumulative sum estimator for change-point in panel data ⋮ Distinguishing between breaks in the mean and breaks in persistence under long memory ⋮ Detecting fuzzy periodic patterns in futures spreads

Uses Software

• Unnamed Item

Cites Work

• Testing for a break in persistence under long-range dependencies
• Long memory versus structural breaks: an overview
• Detection of change in persistence of a linear time series
• A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS
• CUSUM of Squares‐Based Tests for a Change in Persistence

This page was built for publication: Testing for a break in persistence under long-range dependencies and mean shifts