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Activity Number: 293 - Curve Estimation Under Dependence
Type: Topic Contributed
Date/Time: Tuesday, July 31, 2018 : 8:30 AM to 10:20 AM
Sponsor: Royal Statistical Society
Abstract #329818 Presentation
Title: Change-Point Problem Fro Long Memory Stochastic Volatility Models
Author(s): Rafal Kulik*
Companies: University of Ottawa
Keywords: change-point; long memory; long range dependence; stochastic volatility

In this talk we consider change-point problems for long memory stochastic volatility models. We show that the limiting behavior for the CUSUM test statistics may not be affected by long memory, unlike the Wilcoxon test statistic which is typically influenced by long range dependence. We compare our results to subordinated long memory Gaussian processes. Theoretical properties are accompanied by simulation studies.

this is joint work with Annika Betken (Bochum).

Authors who are presenting talks have a * after their name.

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