DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

DOI10.1017/S0266466613000303zbMath1290.62062arXiv1110.5138MaRDI QIDQ4979323

Donatas Surgailis, Anne Philippe, Remigijus Leipus, Frédéric Lavancier

Publication date: 20 June 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.5138

Mathematics Subject Classification ID

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

Related Items

Invariance principles for tempered fractionally integrated processes ⋮ Asymptotics of partial sums of linear processes with changing memory parameter ⋮ Monitoring mean and variance change-points in long-memory time series ⋮ Discriminating between long-range dependence and non-stationarity ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion ⋮ Semiparametric Detection of Changes in Long Range Dependence

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