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Change-of-variance problem for linear processes with long memory

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  • Lihong Wang
  • Jinde Wang

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  • Lihong Wang & Jinde Wang, 2006. "Change-of-variance problem for linear processes with long memory," Statistical Papers, Springer, vol. 47(2), pages 279-298, March.
    • Handle: RePEc:spr:stpapr:v:47:y:2006:i:2:p:279-298
    DOI: 10.1007/s00362-005-0288-1
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    References listed on IDEAS

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    1. Gombay Edit & Horváth Lajos & Husková Marie, 1996. "Estimators And Tests For Change In Variances," Statistics & Risk Modeling, De Gruyter, vol. 14(2), pages 145-160, February.
    2. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    3. Wang Lihong, 2003. "Limit theorems in change-point problems with multivariate long-range dependent observations," Statistics & Risk Modeling, De Gruyter, vol. 21(3/2003), pages 283-300, March.
    4. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Cited by:

    1. Fa-mei Zheng & Qing-pei Zang, 2015. "A general pattern of asymptotic behavior of the R/S statistics for linear processes," Statistical Papers, Springer, vol. 56(1), pages 191-204, February.
    2. Wenzhi Zhao & Zheng Tian & Zhiming Xia, 2010. "Ratio test for variance change point in linear process with long memory," Statistical Papers, Springer, vol. 51(2), pages 397-407, June.

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