Testing for Homogeneity of Variance in Time Series : Long Memory , Wavelets and the Nile RiverBrandon

  • Whitcher Simon D. ByersEURANDOM, T Labs ResearchPeter Guttorp Donald B. PercivalUniversity
  • Published 1998

Abstract

We consider the problem of testing for homogeneity of variance in a time series with long memory structure. We demonstrate that a test whose null hypothesis is designed to be white noise can in fact be applied, on a scale by scale basis, to the discrete wavelet transform of long memory processes. In particular, we show that evaluating a normalized… (More)

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