Abstract
In this paper we investigate the asymptotic properties of the test statistics for detecting change-points in the variance of infinite moving average sequences with long memory.
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This research is partly supported by NSFC Grants and SRF for ROCS, SEM.
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Wang, L., Wang, J. Change-of-variance problem for linear processes with long memory. Statistical Papers 47, 279–298 (2006). https://doi.org/10.1007/s00362-005-0288-1
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DOI: https://doi.org/10.1007/s00362-005-0288-1