• Proceedings of the Korean Statistical Society Conference
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• 2000.11a
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• pp.23-26
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• 2000

It is noted that many econometric time series have long-memory properties. A long-memory process, or strongly dependent process, is characterized by hyperbolic decaying autocorrelations and unbounded spectral density at the origin. Since the long-memory property can be observed by data obtained from rather a long period, there is some possibility of parameter change in the process. In this paper, we consider the estimation of change-point when there is a change in the variance of a long-memory process. The estimator is based on some reasonable statistic and the consistency is shown using Taqqu's strong reduction theorem