Subsampling the mean of heavy‐tailed dependent observations
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Publication:4828178
DOI10.1046/j.0143-9782.2003.00346.xzbMath1051.62078MaRDI QIDQ4828178
Michael Wolf, Piotr S. Kokoszka
Publication date: 24 November 2004
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10230/384
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations, Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations, Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations, Monitoring persistent change in a heavy-tailed sequence with polynomial trends, Bootstrap testing multiple changes in persistence for a heavy-tailed sequence, Bootstrap tests for structural change with infinite variance observations, Monitoring persistence change in infinite variance observations, Subsampling tests for the mean change point with heavy-tailed innovations, The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks, Detection and estimation of structural change in heavy-tailed sequence
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