Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
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Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05)
Recommendations
- Block bootstrap testing for changes in persistence with heavy-tailed innovations
- Bootstrap testing for persistence changes with heavy-tailed dependent sequences
- Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
- Bootstrap test for stationarity of heavy-tailed series with structural breaks
- Subsampling change-point detection in persistence with heavy-tailed innovations
Cites work
- Bootstrap of the mean in the infinite variance case
- Detection of change in persistence of a linear time series
- On tests for changes in persistence
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Point processes, regular variation and weak convergence
- Stable Paretian models in finance
- Subsampling the mean of heavy‐tailed dependent observations
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of stationarity against a change in persistence
Cited in
(15)- A modified bootstrap for kernel-based specification test with heavy-tailed data
- A robust test for mean change in dependent observations
- Bootstrap testing for persistence changes with heavy-tailed dependent sequences
- Detection and estimation of structural change in heavy-tailed sequence
- Bootstrap test for stationarity of heavy-tailed series with structural breaks
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- Block bootstrap testing for changes in persistence with heavy-tailed innovations
- Wilcoxon rank test for change in persistence
- Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
- Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
- Robust test of persistence change in heavy-tailed time series environment
- Bootstrap tests for structural change with infinite variance observations
- Monitoring persistence change in infinite variance observations
- Subsampling change-point detection in persistence with heavy-tailed innovations
- Monitoring change in persistence in linear time series
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