On discriminating between long-range dependence and changes in mean

DOI10.1214/009053606000000254zbMath1112.62085arXivmath/0607803MaRDI QIDQ2500449

Lajos Horváth, Qui-Man Shao, István Berkes, Piotr S. Kokoszka

Publication date: 24 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0607803

zbMATH Keywords

CUSUM; long-range dependence; variance of the mean; change-point in mean

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data, Tests for Volatility Shifts in Garch Against Long‐Range Dependence, Likelihood inference for discriminating between long‐memory and change‐point models, Simple linear regression with multiple level shifts, Testing for structural change of AR model to threshold AR model, A simple test of changes in mean in the possible presence of long-range dependence, Discriminating between long-range dependence and non-stationarity, Fractional integration versus level shifts: the case of realized asset correlations, Spurious regression, Bootstrap testing for discontinuities under long-range dependence, Weakly dependent functional data, An MDL approach to the climate segmentation problem, On parameter estimation for locally stationary long-memory processes, Monitoring shifts in mean: asymptotic normality of stopping times, Testing the stability of the functional autoregressive process, An omnibus test to detect time-heterogeneity in time series, Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study, Testing for epidemic changes in the mean of a multiparameter stochastic process, The increment ratio statistic, On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation, Extensions of some classical methods in change point analysis, Structural breaks in time series, Statistical tests for a single change in mean against long-range dependence, Testing for parameter constancy in general causal time-series models, A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION, Testing equality of stationary autocovariances, Wavelet-domain test for long-range dependence in the presence of a trend, An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes, LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL, ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES, A generalized ARFIMA process with Markov-switching fractional differencing parameter

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Estimating the number of change-points via Schwarz' criterion
• On large-sample estimation for the mean of a stationary random sequence
• GARCH processes: structure and estimation
• Asymptotic results for long memory LARCH sequences
• Rescaled variance and related tests for long memory in volatility and levels
• A model for long memory conditional heteroscedasticity.
• Almost sure convergence of the Bartlett estimator
• Long memory vs. structural change in financial time series
• The Hurst effect under trends
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Discrimination between monotonic trends and long-range dependence
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• A Nonparametric Test for I(0)
• Long-Term Memory in Stock Market Prices
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Testing for long memory in the presence of a general trend
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
• Long memory and regime switching