Testing and estimating for change in long memory parameter

Abstract

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

Acknowledgements

The project is sponsored by the Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry.