Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics
DOI10.1016/J.ECONLET.2019.03.017zbMath1418.62309OpenAlexW2929412797MaRDI QIDQ2419902
Qiongyao Xu, Zhanshou Chen, 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
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
Uses Software
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