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Change-Point Detection in Long-Memory Processes

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  • Horváth, Lajos

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.

Suggested Citation

  • Horváth, Lajos, 2001. "Change-Point Detection in Long-Memory Processes," Journal of Multivariate Analysis, Elsevier, vol. 78(2), pages 218-234, August.
    • Handle: RePEc:eee:jmvana:v:78:y:2001:i:2:p:218-234
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    Citations

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    Cited by:

    1. Lavancier, Frédéric & Philippe, Anne & Surgailis, Donatas, 2010. "A two-sample test for comparison of long memory parameters," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2118-2136, October.
    2. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    3. Husková, M., 2003. "Serial rank statistics for detection of changes," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 199-213, January.

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