Change-Point Detection in Long-Memory Processes

We discuss some methods to test for possible changes in the parameters of a long-memory sequence. We obtain the limit distributions of the test statistics under the no-change null hypothesis. The consistency of the tests is also investigated.

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Year of publication:	2001
Authors:	Horváth, Lajos
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 78.2001, 2, p. 218-234
Publisher:	Elsevier
Keywords:	Whittle's estimate weight function weak convergence Brownian bridge long-range dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006521