On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
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Publication:2509807
DOI10.1214/14-EJS916zbMath1349.62391MaRDI QIDQ2509807
Vladas Pipiras, Changryong Baek
Publication date: 30 July 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1406638930
bootstraphypothesis testschanges in meansize and powerlocal Whittle estimatorshort- and long-range dependence
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Self-similar stochastic processes (60G18)
Related Items (7)
Sparse vector heterogeneous autoregressive modeling for realized volatility ⋮ Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification ⋮ Local Whittle estimation of high-dimensional long-run variance and precision matrices ⋮ Detecting structural breaks in realized volatility ⋮ A piecewise polynomial trend against long range dependence ⋮ Robust test for structural instability in dynamic factor models ⋮ Can Markov switching model generate long memory?
Uses Software
Cites Work
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