Detection of non-constant long memory parameter

Frédéric Lavancier (1) , Remigijus Leipus (2) , Anne Philippe (1) , Donatas Surgailis (2)

1 LMJL - Laboratoire de Mathématiques Jean Leray
2 Vilnius Institute of Mathematics and Informatics

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).

Mots clés: Long memory; change in persistence; ratio test; change point; V/S statistic; fractional integration

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Frédéric Lavancier, Remigijus Leipus, Anne Philippe, Donatas Surgailis. Detection of non-constant long memory parameter. 2012. ⟨hal-00634777v3⟩