Inference for mean change-point in infinite variance AR(p) process

DOI10.1016/J.SPL.2008.05.040MaRDI QIDQ2518944zbMATH OpenOpenAlexFDO

Authors Jie Zhou, Sanyang Liu

Publication date 21 January 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.05.040

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotic inferences for an AR(1) model with a change point and possibly infinite variance
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• Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
• Change detection in \(\mathrm{INAR}(p)\) processes against various alternative hypotheses
• Ratio test for mean change-point in infinite variances sequence
• Estimation mean change-point in ARCH models with heavy-tailed innovations

Cites work

• \(L_{p}\)-estimators in ARCH models
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• Change-point estimation in ARCH models
• scientific article; zbMATH DE number 3980231 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• Inference about the change-point in a sequence of random variables
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Mixing: Properties and examples
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Some mixing properties of time series models
• The effect of long-range dependence on change-point estimators
• Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations

Cited in

(5)

• Randomised pseudolikelihood ratio change point estimator in GARCH models
• Inference for a mean-reverting stochastic process with multiple change points
• A quasi-Bayesian change point detection with exchangeable weights
• The CUSUM test for detecting structural changes in strong mixing processes
• Strong convergence rate of robust estimator of change point

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