Long memory and changepoint models

Long memory and changepoint models: a spectral classification ...

In this paper, we consider the ambiguity between long memory and changepoint models. This ambiguity has been documented in fields such as finance and economics.

Long memory and changepoint models: a spectral classification ...

Time series within fields such as finance and economics are often modelled using long memory processes. Alternative studies on the same data can suggest ...

Long Memory and Changepoint Models: A Spectral Classification ...

Using the wavelet spectrum we then use a classification approach to determine the most appropriate model (long memory or changepoint). Simulation results are ...

Considering long‐memory when testing for changepoints in surface ...

Changepoint models are increasingly used to represent changes in the rate of warming in surface temperature records. On the opposite hand, ...

[PDF] Long memory and changepoint models: a spectral ...

Using the wavelet spectrum, a classification approach is used to determine the most appropriate model (long memory or changepoint) for time series modelled ...

Long memory and changepoint models: a spectral classification ...

Using the wavelet spectrum, we then use a classification approach to determine the most appropriate model (long memory or changepoint).

Considering long-memory when testing for changepoints in surface ...

characterized as changepoint models with short-memory, while long-memory arises in. 294 regions of the ocean. For the cases where a changepoint model with ...

Change-Point Estimation in Long Memory Nonparametric Models ...

We consider the estimation of a change point or discontinuity in a regression function for random design model with long memory errors. We provide several ...

Good Practices and Common Pitfalls in Climate Time Series ...

(2011) for discussion. When a changepoint is known to occur at time k, CUSUMX(k) can be used as the test statistic. One could even scale ...

Changepoint Detection: An Analysis of the Central England ... - arXiv

Our changepoint model fits, with independent and short-memory errors, are also compared with a different class of models termed long-memory ...

Change-Point Detection in Long-Memory Processes - EconPapers

Abstract: We discuss some methods to test for possible changes in the parameters of a long-memory sequence. We obtain the limit distributions of ...

Testing for structural change in a long-memory environment

Tests for a change in parameter values at a given time point are proposed in linear regression models with long-memory errors.

Long memory and changepoint models: a spectral classification ...

Long memory and changepoint models: a spectral classification procedure ; Journal: Statistics and Computing, 2017, № 2, p. 291-302 ; Publisher: Springer Nature.

Monitoring Mean and Variance Change-Points in Long-Memory ...

This paper proposes two ratio-type statistics to sequentially detect mean and variance change-points in the long-memory time series.

Changepoint Detection - AMS Journals

We also compare our changepoint fits with long- memory models. Our focus is on penalized likelihood multiple changepoint techniques, enabling us ...

Considering long‐memory when testing for changepoints in surface ...

These methods were used on surface temperatures in [58] and shown to well discriminate changepoint versus long-memory models in long time series. The results ...

Considering long-memory when testing for changepoints in surface ...

Changepoint models are increasingly used to represent changes in the rate of warming in surface temperature records. On the opposite hand, ...

Sequential Test for Change‐Point in Long Memory Process - 2022

This paper proposes a modified kernel weighted variance ratio statistic to sequentially detect change-point that shifts from a stationary long memory process ...

Testing for a Change of the Long-Memory Parameter - jstor

models are stationary with a constant long-memory parameter H. For some time series, however, the long-term dependence structure seems to change over time. This ...

Changepoint Detection - NSF PAR

Our changepoint model fits, with independent and short-memory errors, are also compared with a different class of models termed long-memory models that have ...