Title: Estimation of the change in variance for Gaussian stationary sequences
Authors: Farida Enikeeva - University of Poitiers, Laboratoire de Mathematiques et Applications (France) [presenting]
Clement Chesseboeuf - University of Poitiers (France)
Hermine Bierme - University of Poitiers (France)
Abstract: The problem of estimation of a change in variance in a stationary Gaussian sequence is considered. A class of contrast functions based on power variations of the underlying process is considered. We establish a functional limit theorem and then study the properties of the change-point estimator based on the power variations. We will also show how to apply these results to the case of a change in the Hurst parameter of a fractional Brownian motion.