CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS

DOI10.1111/j.1467-842X.2008.00515.xzbMath1337.62282MaRDI QIDQ2810355

Lihong Wang

Publication date: 1 June 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

long-memory process; rank statistics; change-point analysis

Mathematics Subject Classification ID

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

• longmemo

Cites Work

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