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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).
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https://hal.archives-ouvertes.fr/hal-00634777
Contributor : Anne Philippe <>
Submitted on : Friday, September 28, 2012 - 7:01:05 PM
Last modification on : Wednesday, September 4, 2019 - 5:18:01 PM
Long-term archiving on: : Friday, December 16, 2016 - 6:39:56 PM

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  • HAL Id : hal-00634777, version 3
  • ARXIV : 1110.5138

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

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