Browsing by Subject "Changepoints"
Now showing items 1-1 of 1
-
Testing constancy of the Hurst exponent of some long memory stationary Gaussian time series
(SASA, 2012)Long-range dependence is often observed in stationary time series. The Hurst exponent then characterizes the long term features of the data, which implies that changes in its value could have implications for the long ...