CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS
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Publication:2810355
DOI10.1111/j.1467-842X.2008.00515.xzbMath1337.62282MaRDI QIDQ2810355
Publication date: 1 June 2016
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
62G30: Order statistics; empirical distribution functions
60J65: Brownian motion
62M07: Non-Markovian processes: hypothesis testing
Related Items
Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data, A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models, Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test, Unsupervised segmentation of new semi-Markov chains hidden with long dependence noise, Estimation methods for the LRD parameter under a change in the mean, Rank-based change-point analysis for long-range dependent time series, Wilcoxon-Signed Rank Test for Long Memory Sequences
Uses Software
Cites Work
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