Testing and estimating for change in long memory parameter

@article{Wang2006TestingAE,
  title={Testing and estimating for change in long memory parameter},
  author={Lihong Wang and Jinde Wang},
  journal={Journal of Statistical Computation and Simulation},
  year={2006},
  volume={76},
  pages={317 - 329}
}
  • Lihong Wang, Jinde Wang
  • Published 1 April 2006
  • Mathematics
  • Journal of Statistical Computation and Simulation
We consider a long memory time series where the long-memory parameter H appears to change with time. We are interested in detecting and estimating the change-point and studying the asymptotic properties of the estimator and the test statistic. We apply the method to two practical data series to investigate the presence of change in H. Simulations and data examples confirm the validity of the test and estimation. 
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