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Abstract
Test and estimation procedures for detecting a change in the mean are proposed in infinite moving average long memory time series models. The asymptotic properties of the test statistics and the change-point estimators are investigated. The method is illustrated through the analysis of real data sets from econometrics and climatology.
Acknowledgements
Research supported by NSFC under Grant No. 10501020 and by SRF for ROCS, SEM Grant of Lihong Wang at Nanjing University. The author sincerely wishes to thank the referee for his/her queries and many insightful remarks and suggestions which have led to improving the presentation of the results, and to making corrections of some oversights in the proofs.
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