A simple test of changes in mean in the possible presence of long-range dependence

DOI10.1111/j.1467-9892.2010.00717.xzbMath1273.62223OpenAlexW1847315472MaRDI QIDQ135933

Xiaofeng Shao, Xiao-Feng Shao

Publication date: 1 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00717.x

zbMATH Keywords

structural breakspurious long memorychange pointlong-range dependent

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Non-Markovian processes: hypothesis testing (62M07)

Related Items (24)

A unified approach to self-normalized block sampling ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ Monitoring mean and variance change-points in long-memory time series ⋮ A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Rank-based change-point analysis for long-range dependent time series ⋮ Investment disputes and their explicit role in option market uncertainty and overall risk instability ⋮ Nuisance-parameter-free changepoint detection in non-stationary series ⋮ Testing for a change in mean under fractional integration ⋮ Changepoint in dependent and non-stationary panels ⋮ Distinguishing between breaks in the mean and breaks in persistence under long memory ⋮ Hypothesis testing for high-dimensional time series via self-normalization ⋮ A general approach to the joint asymptotic analysis of statistics from sub-samples ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test ⋮ A simple test on structural change in long-memory time series ⋮ Modified tests for change points in variance in the possible presence of mean breaks ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ memochange ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ Testing for Change in Long‐Memory Stochastic Volatility Time Series ⋮ Change-in-mean tests in long-memory time series: a review of recent developments ⋮ Structural breaks in time series

Uses Software

• longmemo

Cites Work

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