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Detecting changes from short to long memory

✍ Scribed by Uwe Hassler; Jan Scheithauer


Book ID
106045474
Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
240 KB
Volume
52
Category
Article
ISSN
0932-5026

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Change-Point Detection in Long-Memory Pr
✍ Lajos HorvΓ‘th πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 148 KB

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.