An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes

作者:Bisaglia Luisa; Gerolimetto Margherita*
来源:Communications in Statistics - Simulation and Computation, 2009, 38(1): 172-189.
DOI:10.1080/03610910802446977

摘要

Long-range dependence and structural changes in level are intimely related phenomena and it is very difficult to separate the two effects. In this article, we present an empirical procedure to distinguish between long-memory and occasional-break processes. An extensive Monte Carlo experiment illustrates the performance of the procedure and an application to real data is also included.