On the detection of changes in autoregressive time series. II: Resampling procedures

DOI10.1016/j.jspi.2007.06.029zbMath1131.62079OpenAlexW2047484321MaRDI QIDQ2480024

Zuzana Prášková, Claudia Kirch, Josef G. Steinebach, Marie Hušková

Publication date: 28 March 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2007.06.029

zbMATH Keywords

bootstrapresamplingchange point analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Functional limit theorems; invariance principles (60F17)

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Cites Work

• On the detection of changes in autoregressive time series. I: Asymptotics.
• Limit theorems for the union-intersection test
• Resampling methods for dependent data
• An alternative bootstrap to moving blocks for time series regression models
• Bootstrap of kernel smoothing in nonlinear time series
• The jackknife and the bootstrap for general stationary observations
• Testing for a change in the parameter values and order of an autoregressive model
• The jackknife and bootstrap
• Change-point problem and bootstrap
• Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
• Permutation tests in change point analysis
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