Detection of non-constant long memory parameter

Details Detection of non-constant long memory parameter Detection of non-constant long memory parameter

2011-10-24

arxiv.org/abs/1110.5138v1

Mathematics

Statistics Theory

Scientific paper

This article deals with detection of non-constant long memory parameter in time series. The null hypothesis includes stationary or nonstationary time series with constant long memory parameter, in particular $I(d)$ series, $d>-.5$. The alternative corresponds to a change in the long memory parameter and gathers in particular an abrupt or gradual change from $I(d_1)$ to $I(d_2)$, $-.5

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