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Change-Point Detection in Long-Memory Processes

✍ Scribed by Lajos Horváth

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
148 KB
Volume
78
Category
Article
ISSN
0047-259X

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✦ Synopsis

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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