Semi-parametric detection of multiple changes in long-range dependent processes

01/08/2018

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by   Jean-Marc Bardet, et al.

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This paper is devoted to the offline multiple changes detection for long memory processes. The observations are supposed to satisfy a semi-parametric long memory assumption with distinct memory parameters on each stage. A penalized local Whittle contrast is considered for estimating all the parameters. The consistency as well as convergence rates are obtained. Monte-Carlo experiments exhibit the accuracy of the estimators. They also show that the estimation of the number of breaks is improved by using a data-driven slope heuristic procedure of choice of the penalization parameter.