Bootstrap testing for persistence changes with heavy-tailed dependent sequences

MaRDI QIDQ2858191zbMATH OpenFDO

Authors Hao Jin, Si Zhang, Baoming Qiao, Zheng Tian

Publication date 19 November 2013

Published in Mathematics in Practice and Theory (Search for Journal in Brave)

zbMATH Keywords

bootstrapheavy-tailed dependent sequencesmodified variance-ratio testpersistence changesunit root

Mathematics Subject Classification ID

Large deviations (60F10) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(4)

• Bootstrap test for stationarity of heavy-tailed series with structural breaks
• Block bootstrap testing for changes in persistence with heavy-tailed innovations
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