Article ID Journal Published Year Pages File Type
1144881 Journal of the Korean Statistical Society 2011 12 Pages PDF
Abstract
In this paper, we consider the test for constancy of parameters in long memory fractional autoregressive integrated moving average (FARIMA or ARFIMA) models. We construct the cusum test on the basis of the quasi-log-likelihood estimator (QMLE) and derive its limiting null distribution. Simulation results are provided for illustration.
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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Constancy test for FARIMA long memory processes
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