Resampling in the frequency domain of time series to determine critical values for change-point tests

DOI10.1524/stnd.2007.0902zbMath1146.62032OpenAlexW2157107315MaRDI QIDQ5460216

Claudia Kirch

Publication date: 5 May 2008

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d69b5273065f590f60f8e6b14adcd0fbb2dff92a

zbMATH Keywords

frequency domainlinear processchange in meandependent observationsrank statisticpermutation principle

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (8)

A comparison of single and multiple changepoint techniques for time series data ⋮ Testing for parameter stability in nonlinear autoregressive models ⋮ TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain ⋮ Bootstrapping Sequential Change-Point Tests ⋮ Bootstrapping confidence intervals for the change-point of time series ⋮ Extensions of some classical methods in change point analysis ⋮ Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis ⋮ Frequency domain bootstrap methods for random fields

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