Data-driven semi-parametric detection of multiple changes in long-range dependent processes

HIGHLIGHTS

• who: Jean-Marc Bardet and Abdellatif Guenaizi from the Université Panthéon-Sorbonne (Paris I), rue de Tolbiac, Paris, France have published the research work: Data-driven semi-parametric detection of multiple changes in long-range dependent processes, in the Journal: (JOURNAL)
• what: The aim of this paper is to present a method for estimating from_(X1,..., Xn ) the number K * of abrupt changes, the K * change-times (t*1,..., t*K * ) and the K * + 1 different long-memory parameters (d*1,..., d*K * +1 ), which are unknown.
• how: For improving the procedure . . .
  

   

  

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