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

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

Jinde Wang2006

Article2006

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

21 citations·0/0 files stored·Statistical Papers

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Advanced Statistical Process Monitoring Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

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References

1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1981Fractional Differencing 1996Statistics for Long-Memory Processes.1991Long-Term Memory in Stock Market Prices 1996Statistics for Long-Memory Processes.1989Long-term Memory in Stock Market Prices 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 1997Limit theorems in change-point analysis

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2018Detection of a change-point in variance by a weighted sum of powers of variances test 2008CHANGE‐POINT DETECTION WITH RANK STATISTICS IN LONG‐MEMORY TIME‐SERIES MODELS

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Year2006

Typearticle

Published2006-03-01

VenueStatistical Papers

ISSN-L0932-5026

Languageen

Citations21

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1007/s00362-005-0288-1

openalex_workW2108630145

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