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Semi-parametric detection of multiple changes in long-range dependent processes

Authors
  • Bardet, Jean-Marc
  • Guenaizi, Abdellatif
Publication Date
Jan 07, 2018
Source
Kaleidoscope Open Archive
Keywords
Language
English
License
Unknown
External links

Abstract

This paper is devoted to the offline multiple changes detection for long memory processes. The observations are supposed to satisfy a semi-parametric long memory assumption with distinct memory parameters on each stage. A penalized local Whittle contrast is considered for estimating all the parameters. The consistency as well as convergence rates are obtained. Monte-Carlo experiments exhibit the accuracy of the estimators. They also show that the estimation of the number of breaks is improved by using a data-driven slope heuristic procedure of choice of the penalization parameter.

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