Change-of-variance problem for linear processes with long memory |
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| Authors: | Lihong Wang Jinde Wang |
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| Affiliation: | (1) Department of Mathematics, Institute of Mathematical Science, Nanjing University, 210093 Nanjing, P.R. China |
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| 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. This research is partly supported by NSFC Grants and SRF for ROCS, SEM. |
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| Keywords: | Change of variance Limiting distribution Linear process Long memory |
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