Moving estimates test with time varying bandwidth

DOI10.1016/J.JMVA.2007.02.003MaRDI QIDQ996978zbMATH OpenOpenAlexFDO

Authors Okyoung Na, Sangyeol Lee

Publication date 19 July 2007

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2007.02.003

zbMATH Keywords

time seriestest for parameter changestrong mixing processescusum testmoving estimates test

Mathematics Subject Classification ID

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

Recommendations

• Tests for parameter changes in time series
• Alternative Tests for Parameter Stability
• Testing for change in mean of independent multivariate observations with time varying covariance
• Testing and estimating change-points in time series
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Cites work

• scientific article; zbMATH DE number 4028514 (Why is no real title available?)
• scientific article; zbMATH DE number 47625 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• Conditions for linear processes to be strong-mixing
• On extremal theory for stationary processes
• On some global measures of the deviations of density function estimates
• On strong invariance principles under dependence assumptions
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• Testing and estimating change-points in time series
• Tests for parameter changes at unknown times in linear regression models
• The Cusum Test for Parameter Change in Time Series Models
• The effect of serial correlation on tests for parameter change at unknown time
• The generalized fluctuation test: A unifying view
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(2)

• scientific article; zbMATH DE number 5770649 (Why is no real title available?)
• Long memory with stochastic variance model: a recursive analysis for US inflation

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