Summary We consider a non-parametric regression model with long-range dependent innovations, in which the regression function may have a discontinuity at an unknown point. We propose a method to estimate the unknown time of change. The rate of consistency and limit distribution of the...

Abstract In this paper we investigate the asymptotic properties of the test statistics for detecting change-points in the mean of a set of multivariate long-range dependent observations. The limit theorems of weighted test statistics and weighted L p -functionals of tests are developed. The...

This paper examines the integration and causality of interdependencies among six major East Asian stock exchanges, while also considering their interactions with the USA before and during the 2007–2009 global financial crisis. The data reveal that the global financial crisis has strengthened...

In this paper we investigate the asymptotics of the statistical estimates of the optimal value and the optimal solution in stochastic programming problems, which has long range dependent samples. The asymptotic distribution and the convergence rate of these estimates are studied. Copyright...

In this paper we study the estimation of the spatial long memory parameter for stationary long range dependent random fields using wavelet methods. We first show the relation between the wavelet coefficients of the random fields and its long memory parameter. Based on this relation, we construct...

In this paper we investigate the asymptotics of the statistical estimates of the optimal value and the optimal solution in stochastic programming problems, which has long range dependent samples. The asymptotic distribution and the convergence rate of these estimates are studied. Copyright...