@TechReport{dp-479,
  author        = {Heinen, Florian and Willert, Juliane},
  astring       = {Heinen, Florian and Willert, Juliane},
  title         = {Monitoring a change in persistence of a long range
                  dependent time series},
  month         = {September},
  year          = {2011},
  pages         = {21},
  size          = {195},
  number        = {479},
  language      = {en},
  keywords      = {Change in persistence, long range dependency, MOSUM test},
  jelclass      = {C12, C22},
  abstract      = {We consider the detection of a change in persistence of a
                  long range dependent time series. The usual approach is to
                  use one-shot tests to detect a change in persistence a
                  posteriori in a historical data set. However, as breaks can
                  occur at any given time and data arrives steadily it is
                  desirable to detect a change in persistence as soon as
                  possible. We propose the use of a MOSUM type test which
                  allows sequential application whenever new data arrives. We
                  derive the asymptotic distribution of the test statistic
                  and prove consistency. We further study the finite sample
                  behavior of the test and provide an empirical
                  application.}
}