Change-point estimation of fractionally integrated processes

Chung Ming Kuan, Chih Chiang Hsu

Research output: Contribution to journalArticlepeer-review

47 Scopus citations

Abstract

In this paper we analyze the least-squares estimator of the change point for fractionally integrated processes with fractionally differencing parameter -0.5 < d < 0.5. When there is a one-time change, we show that the least-squares estimator is consistent and that the rate of convergence depends on d. When there is no change, we find that the least-squares estimator converges in probability to the set {0, 1} for -0.5 < d ≤ 0 but is likely to suggest a spurious change for 0 < d < 0.5. Simulations are also used to illustrate the asymptotic analysis.

Original languageEnglish
Pages (from-to)693-708
Number of pages16
JournalJournal of Time Series Analysis
Volume19
Issue number6
DOIs
StatePublished - Nov 1998

Keywords

  • Change point
  • Fractional Brownian motion
  • Fractionally integrated process
  • Functional central limit theorem
  • Law of iterated logarithm
  • Spurious change

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