Semiparametric detection of changes in long range dependence

Iacone, Fabrizio and Lazarova, Stepana (2019) Semiparametric detection of changes in long range dependence. Journal of Time Series Analysis. 693–706. ISSN 1467-9892



Copyright, Publisher and Additional Information: © 2019 John Wiley & Sons Ltd. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.
Keywords: Long memory,break,local Whittle estimate,persistence,Statistics and Probability,Statistics, Probability and Uncertainty,Applied Mathematics
  • Accepted: 26 November 2018
  • Published (online): 5 February 2019
  • Published: September 2019
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 19 Dec 2018 17:00
Last Modified: 11 Jun 2020 23:43
Published Version:
Status: Published
Refereed: Yes
Identification Number:
Related URLs:


Filename: Semiparametric_detection_of_changes_in_long_range_dependence_First_Revision_With_Figures.pdf

Description: Semiparametric detection of changes in long range dependence First Revision With Figures

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