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Journal of Statistical Computation and Simulation Volume 76, 2006 - Issue 4
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Original Articles

Testing and estimating for change in long memory parameter

Lihong Wang Department of Mathematics, Institute of Mathematical Science, Nanjing University, Nanjing, 210093, P.R. ChinaCorrespondence[email protected]
&
Jinde Wang Department of Mathematics, Institute of Mathematical Science, Nanjing University, Nanjing, 210093, P.R. China
Pages 317-329 | Published online: 01 Feb 2007

Citations (10)

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Read on this site (3)

Li Song & Pascal Bondon. (2013) Structural changes estimation for strongly dependent processes. Journal of Statistical Computation and Simulation 83:10, pages 1783-1806.
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Heri Kuswanto. (2011) A new simple test against spurious long memory using temporal aggregation. Journal of Statistical Computation and Simulation 81:10, pages 1297-1311.
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Lihong Wang. (2008) Change-in-mean problem for long memory time series models with applications. Journal of Statistical Computation and Simulation 78:7, pages 653-668.
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Articles from other publishers (7)

Jean-Marc Bardet & Abdellatif Guenaizi. (2020) Data-driven semi-parametric detection of multiple changes in long-range dependent processes. Electronic Journal of Statistics 14:2.
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Morten Ørregaard Nielsen & Javier Hualde. (2019) Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction . Journal of Time Series Analysis 40:4, pages 386-387.
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Murad S. Taqqu & Ting Zhang. (2019) A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter. Journal of Time Series Analysis 40:4, pages 411-424.
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P. Bernaola-Galván, J. L. Oliver, M. Hackenberg, A. V. Coronado, P. Ch. Ivanov & P. Carpena. (2012) Segmentation of time series with long-range fractal correlations. The European Physical Journal B 85:6.
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Li Song & Pascal Bondon. (2011) Break detection in nonstationary strongly dependent long time series. Break detection in nonstationary strongly dependent long time series.
Valdério A. Reisen, Eric Moulines, Philippe Soulier & Glaura C. Franco. (2010) On the properties of the periodogram of a stationary long-memory process over different epochs with applications. Journal of Time Series Analysis 31:1, pages 20-36.
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Lihong Wang. (2008) CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS. Australian & New Zealand Journal of Statistics 50:3, pages 241-256.
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