Bootstrap tests for structural change with infinite variance observations

DOI10.1016/J.SPL.2009.06.008MaRDI QIDQ731938zbMATH OpenOpenAlexFDO

Authors Hao Jin, Zheng Tian, Ruibing Qin

Publication date 9 October 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.06.008

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Nonparametric statistical resampling methods (62G09) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• Can one use the Durbin-Levinson algorithm to generate infinite variance fractional ARIMA time series?
• Heavy-tailedness and threshold sex determination
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Parameter estimation for ARMA models with infinite variance innovations
• Periodic moving averages of random variables with regularly varying tails
• Subsampling the mean of heavy‐tailed dependent observations
• Testing and estimating change-points in time series
• Testing for parameter stability in quantile regression models
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(8)

• Ratio detections for change point in heavy tailed observations
• Modified tests for change points in variance in the possible presence of mean breaks
• Bootstrap procedures for variance breaks test in time series with a changing trend
• The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts
• Modified tests for variance changes in autoregressive regression
• Detection and estimation of structural change in heavy-tailed sequence
• A quasi-Bayesian change point detection with exchangeable weights

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