Change-Points and Long Range Dependence

Lajos Horváth
University of Utah

Thursday, 3 March 2005
10:00 AM
223 Weber Building

ABSTRACT

The CUSUM method is one of the most popular methods to test for a possible change in the mean. We discuss how the CUSUM can be used to discriminate between long range dependence and weak dependence with changing means.

GARCH models are used to model volatility. We discuss several methods how to check if the model is stable, i.e. there are no changes in the parameters during the observation period.

 

Refreshments will be served at 9:40 a.m. in Room 008 of the Statistics Building



 

 

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