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Change-of-variance problem for linear processes with long memory
15 references·3 citing·30 second hop
Change-of-variance problem for linear processes with long memory (2006)Change-of-variance problem for linear pro…Theory and applications of long-range dependence (2003)Theory and applications of lo…The effect of long-range dependence on change-point estimators (1997)The effect of long-range depe…Limit theorems in change-point analysis (1997)Limit theorems in change-poin…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES (1996)ESTIMATORS AND TESTS FOR CHAN…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Semiparametric Analysis of Long-Memory Time Series (1994)Semiparametric Analysis of Lo…Statistical Methods for Data with Long-Range Dependence (1992)Statistical Methods for Data …Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Invariance principles for changepoint problems (1988)Invariance principles for cha…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Detection of a change-point in variance by a weighted sum of powers of variances test (2018)Detection of a change-point i…CHANGE‐POINT DETECTION WITH RANK STATISTICS IN LONG‐MEMORY TIME‐SERIES MODELS (2008)CHANGE‐POINT DETECTION WITH R…Change-Point Estimation in Long Memory Nonparametric Models with Applications (2007)Change-Point Estimation in Lo…Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Convergence of integrated processes of arbitrary Hermite rank (1979)On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)Stein’s method on Wiener chaos (2008)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Dealing with Structural Breaks (2005)Penalized Maximal t Test for Detecting Undocumented Mean Change in Climate Data Series (2007)Structural breaks in time series (2012)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)Long memory processes and fractional integration in econometrics (1996)Scaling of the distribution of fluctuations of financial market indices (1999)Robust dynamic classes revealed by measuring the response function of a social system (2008)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Bootstrap for Empirical Multifractal Analysis (2007)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)
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References

  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1981Fractional Differencing2,720 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 2003Theory and applications of long-range dependence989 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1994Semiparametric Analysis of Long-Memory Time Series468 cited
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  • 1997The effect of long-range dependence on change-point estimators85 cited
  • 1996ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES57 cited

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  • 2018

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Detection of a change-point in variance by a weighted sum of powers of variances test
15 cited
  • 2008CHANGE‐POINT DETECTION WITH RANK STATISTICS IN LONG‐MEMORY TIME‐SERIES MODELS12 cited
  • 2007Change-Point Estimation in Long Memory Nonparametric Models with Applications11 cited