Testing and estimating for change in long memory parameter

DOI10.1080/10629360500107766zbMath1099.62104OpenAlexW2103105069MaRDI QIDQ5290898

Lihong Wang, Jinde Wang

Publication date: 3 May 2006

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

Full work available at URL: https://doi.org/10.1080/10629360500107766

zbMATH Keywords

long memorychange-point estimationasymptotic property

Mathematics Subject Classification ID

Related Items (8)

Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ A new simple test against spurious long memory using temporal aggregation ⋮ Change-in-mean problem for long memory time series models with applications ⋮ On the properties of the periodogram of a stationary long-memory process over different epochs with applications ⋮ CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS ⋮ Structural changes estimation for strongly dependent processes ⋮ Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Noncentral limit theorems for quadratic forms in random variables having long-range dependence
• Limit theorems for quadratic forms with applications to Whittle's estimate
• Semiparametric analysis of long-memory time series
• Limit theorems for functionals of moving averages
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Bayesian methods for change-point detection in long-range dependent processes
• Testing for a change of the long-memory parameter
• Change-point detection in long-memory processes

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