Change-of-variance problem for linear processes with long memory

DOI10.1007/s00362-005-0288-1zbMath1115.62091OpenAlexW2108630145MaRDI QIDQ864915

Jinde Wang, Lihong Wang

Publication date: 13 February 2007

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

Full work available at URL: https://doi.org/10.1007/s00362-005-0288-1

zbMATH Keywords

limiting distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items

Detection of a change-point in variance by a weighted sum of powers of variances test, A strong convergence rate of estimator of variance change in linear processes and its applications, Monitoring mean and variance change-points in long-memory time series, Strong convergence rates of multiple change-point estimator for ρ-mixing sequence, Ratio test for variance change point in linear process with long memory, Ratio test to detect change in the variance of linear process, Bootstrap procedures for variance breaks test in time series with a changing trend, A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes, Change-Point Estimation in Long Memory Nonparametric Models with Applications, Change-in-mean problem for long memory time series models with applications, Modified tests for change points in variance in the possible presence of mean breaks, Detection of multiple change points for linear processes under negatively super-additive dependence, Change-Point Detection for Variance Piecewise Constant Models

Uses Software

• longmemo

Cites Work

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