Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics

DOI10.1016/J.ECONLET.2019.03.017MaRDI QIDQ2419902zbMATH OpenOpenAlexFDO

Authors Zhanshou Chen, Qiongyao Xu, Huini Li

Publication date 4 June 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2019.03.017

zbMATH Keywords

change pointheavy-tailed time seriesrank likelihood ratio

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• A MOSUM procedure for the estimation of multiple random change points
• An efficient algorithm to estimate the change in variance
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Change-Point Analysis Based on Empirical Characteristic Functions of Ranks
• Inference for multiple change points in time series via likelihood ratio scan statistics
• Inference for single and multiple change-points in time series
• Optimal detection of changepoints with a linear computational cost
• Stable Paretian models in finance
• Structural Break Estimation for Nonstationary Time Series Models
• Structural breaks in time series
• Structural changes in large economic datasets: a nonparametric homogeneity test
• The maximum likelihood method for testing changes in the parameters of normal observations
• The multiple change-points problem for the spectral distribution
• Wild binary segmentation for multiple change-point detection

Cited in

(3)

• Inference for multiple change points in time series via likelihood ratio scan statistics
• Detecting change-points in extremes
• Change points in heavy‐tailed multivariate time series: Methods using precision matrices

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