On discriminating between long-range dependence and changes in mean

Preprint, Other literature type English OPEN
Berkes, István; Horváth, Lajos; Kokoszka, Piotr; Shao, Qi-Man;
(2006)

We develop a testing procedure for distinguishing between a long-range dependent time series and a weakly dependent time series with change-points in the mean. In the simplest case, under the null hypothesis the time series is weakly dependent with one change in mean at... View more
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