Testing constancy of the Hurst exponent of some long memory stationary Gaussian time series
Abstract
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 term behaviour of the series. In this paper we propose and apply tests
to detect changes over time in the Hurst exponent of long memory Gaussian
time series, in particular fractional Gaussian noise and fractionally integrated
Gaussian white noise.
URI
http://hdl.handle.net/10394/17556http://hdl.handle.net/10520/EJC-72f8efb31
https://journals.co.za/content/sasj/46/2/EJC12508910520/EJC-72f8efb31