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arXiv · 1110.5138

Detection of non-constant long memory parameter

Frédéric Lavancier·Remigijus Leipus·Anne Philippe·Donatas Surgailis
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Abstract

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

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Frédéric Lavancier, Remigijus Leipus, Anne Philippe, Donatas Surgailis. 2012-09-28. Detection of non-constant long memory parameter. https://arxiv.org/abs/1110.5138

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