Constancy test for FARIMA long memory processes

DOI10.1016/J.JKSS.2010.09.001zbMath1296.62174OpenAlexW1977614596MaRDI QIDQ458109

Sangyeol Lee, Okyoung Na, Ji-Yeon Lee

Publication date: 30 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.09.001

zbMATH Keywords

long memory processQMLEchange pointCUSUM testFARIMA models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Sequential statistical analysis (62L10)

Related Items (1)

Recent progress in parameter change test for integer-valued time series models

Cites Work

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