On the detection of changes in autoregressive time series. II: Resampling procedures
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Publication:2480024
DOI10.1016/J.JSPI.2007.06.029zbMath1131.62079OpenAlexW2047484321MaRDI QIDQ2480024
Zuzana Prášková, Claudia Kirch, Josef G. Steinebach, Marie Hušková
Publication date: 28 March 2008
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2007.06.029
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Functional limit theorems; invariance principles (60F17)
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Cites Work
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- On the detection of changes in autoregressive time series. I: Asymptotics.
- Limit theorems for the union-intersection test
- Resampling methods for dependent data
- An alternative bootstrap to moving blocks for time series regression models
- Bootstrap of kernel smoothing in nonlinear time series
- The jackknife and the bootstrap for general stationary observations
- Testing for a change in the parameter values and order of an autoregressive model
- The jackknife and bootstrap
- Change-point problem and bootstrap
- Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
- Permutation tests in change point analysis
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