## On discriminating between long-range dependence and changes in mean

*Berkes, István*;

*Horváth, Lajos*;

*Kokoszka, Piotr*;

*Shao, Qi-Man*;

- Publisher: The Institute of Mathematical Statistics
- Journal: issn: 0090-5364
Related identifiers: - Subject: Mathematics - Statistics Theory | 62M10 | variance of the mean | CUSUM | long-range dependence | Change-point in mean | 62G10 | 62M10, 62G10 (Primary)

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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