Change-Point Detection in Long-Memory Processes

Lajos Horvath

Journal of Multivariate Analysis, 2001, vol. 78, issue 2, 218-234

Abstract: 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.

Keywords: Whittle's; estimate; weight; function; weak; convergence; Brownian; bridge; long-range; dependence (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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