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Home / Journal of Statistical Computation and Simulation, Volume 76, Number 4

Testing and estimating for change in long memory parameter

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Authors: Wang, Lihong; Wang, Jinde

Source: Journal of Statistical Computation and Simulation, Volume 76, Number 4, Number 4/April 2006, pp. 317-329(13)

Publisher: Taylor and Francis Ltd

DOI: https://doi.org/10.1080/10629360500107766

We consider a long memory time series where the long-memory parameter H appears to change with time. We are interested in detecting and estimating the change-point and studying the asymptotic properties of the estimator and the test statistic. We apply the method to two practical data series to investigate the presence of change in H . Simulations and data examples confirm the validity of the test and estimation.

Keywords: Asymptotic property; Change-point; Estimation; Long memory

Document Type: Research Article

Affiliations: Department of Mathematics, Institute of Mathematical Science, Nanjing University, Nanjing, 210093, P.R. China

Publication date: 01 April 2006

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