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Monitoring Mean and Variance Change-Points in Long-Memory Time Series · Study

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ArticleMonitoring Mean and Variance Change-Points in Long-Memory Time Series

Zhanshou Chen2021

Article2021

Monitoring Mean and Variance Change-Points in Long-Memory Time Series

Zhanshou Chen · Fuxiao Li · Li Zhu · Yuhong Xing

10 citations·0/0 files stored·Journal of Systems Science and Complexity

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

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References

1975Weak convergence to fractional brownian motion and to the rosenblatt process 2012Structural breaks in time series 1996Monitoring Structural Change 2007Monitoring General Linear Profiles Using Multivariate Exponentially Weighted Moving Average Schemes 2013Inference for single and multiple change‐points in time series 2017A MOSUM procedure for the estimation of multiple random change points 1996Testing for a change of the long-memory parameter 1996Testing for structural change in a long-memory environment

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Year2021

Typearticle

Published2021-10-23

VenueJournal of Systems Science and Complexity

ISSN-L1009-6124

Languageen

Citations10

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1007/s11424-021-0222-1

openalex_workW3210880403

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