Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Detection of non-constant long memory parameter

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).
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-00634777
Contributor : Anne Philippe <>
Submitted on : Friday, May 18, 2012 - 4:19:56 PM
Last modification on : Wednesday, September 4, 2019 - 5:18:01 PM
Long-term archiving on: : Thursday, December 15, 2016 - 9:44:55 AM

Files

llps27.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00634777, version 2
  • ARXIV : 1110.5138

Citation

Frédéric Lavancier, Remigijus Leipus, Anne Philippe, Donatas Surgailis. Detection of non-constant long memory parameter. 2012. ⟨hal-00634777v2⟩

Share

Metrics

Record views

60

Files downloads

17