Testing and estimating in the change-point problem of the spectral function

DOI10.1007/BF00970969zbMath0794.62066MaRDI QIDQ1324835

Liudas Giraitis, Remigijus Leipus

Publication date: 19 July 1994

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

functional central limit theoremchange-point problemrandom fieldsspectral functionsconsistent estimatorsmagnitude of jumppiecewise stationarityspectrum of a stationary sequence

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (15)

Testing temporal constancy of the spectral structure of a time series ⋮ The integrated periodogram for long-memory processes with finite or infinite variance ⋮ The change-point problem for dependent observations ⋮ The periodogram at the Fourier frequencies ⋮ Serial rank statistics for detection of changes. ⋮ Detection of multiple change-points in multivariate time series ⋮ Detecting Markov random fields hidden in white noise ⋮ Testing for changes in the mean or variance of a stochastic process under weak invariance ⋮ On rapid change points under long memory ⋮ Detection of multiple changes in a sequence of dependent variables ⋮ On parameter estimation for locally stationary long-memory processes ⋮ On Local Power Properties of Frequency Domain‐based Tests for Stationarity ⋮ Testing for parameter changes in ARCH models ⋮ Change-point problems: bibliography and review ⋮ Gaussian limit fields for the integrated periodogram

Cites Work

• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Nonparametric tests for the changepoint problem
• Nonparametric change-point estimation
• Testing that a Gaussian process is stationary
• Detecting changes in signals and systems - a survey
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Testing and estimating change-points in time series
• The asymptotic local approach to change detection and model validation
• Asymptotic inference in stationary Gaussian time-series
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications

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