A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter

DOI10.1111/JTSA.12444zbMath1421.62134OpenAlexW2907027278WikidataQ128648612 ScholiaQ128648612MaRDI QIDQ5226140

No author found.

Publication date: 30 July 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12444

zbMATH Keywords

time seriesspectrumself-normalizationlong memory parameterchange-point tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The effect of long-range dependence on change-point estimators
• A simple test of changes in mean in the possible presence of long-range dependence
• Local Whittle estimation of fractional integration and some of its variants
• Noncentral limit theorems and Appell polynomials
• Inference of time-varying regression models
• A functional central limit theorem for weakly dependent sequences of random variables
• Zones of attraction of self-similar multiple integrals
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• On large-sample estimation for the mean of a stationary random sequence
• Limit theorems for quadratic forms with applications to Whittle's estimate
• Non-stationary log-periodogram regression
• Semiparametric analysis of long-memory time series
• Local Whittle estimation in nonstationary and unit root cases.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Weak convergence and empirical processes. With applications to statistics
• Power of change-point tests for long-range dependent data
• Change point estimation based on Wilcoxon tests in the presence of long-range dependence
• A general approach to the joint asymptotic analysis of statistics from sub-samples
• Strong invariance principles for dependent random variables
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
• ON SELF-NORMALIZATION FOR CENSORED DEPENDENT DATA
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
• Bayesian methods for change-point detection in long-range dependent processes
• Testing for a change of the long-memory parameter
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Self-Similar Probability Distributions
• Non-central limit theorems for non-linear functional of Gaussian fields
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• A Self-Normalized Approach to Confidence Interval Construction in Time Series
• A Time‐Symmetric Self‐Normalization Approach for Inference of Time Series
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
• Unsupervised Self-Normalized Change-Point Testing for Time Series
• Inference for Linear Models with Dependent Errors
• Testing for Change Points in Time Series
• Long-Range Dependence and Self-Similarity
• Testing and estimating for change in long memory parameter
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• The Invariance Principle for Stationary Processes

This page was built for publication: A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter