Detecting changes from short to long memory

DOI10.1007/s00362-009-0292-yzbMath1284.62525OpenAlexW1972327446MaRDI QIDQ657089

Uwe Hassler, Jan Scheithauer

Publication date: 13 January 2012

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

Full work available at URL: https://doi.org/10.1007/s00362-009-0292-y

zbMATH Keywords

change point estimationchange in persistenceunknown change point

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

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