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.XzbMATH Open1337.62282MaRDI QIDQ2810355FDOQ2810355
Authors: Lihong Wang 
Publication date: 1 June 2016
Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)
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- scientific article; zbMATH DE number 2152212
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Non-Markovian processes: hypothesis testing (62M07) Brownian motion (60J65)
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- On the asymptotic behavior of a class of nonparametric tests for a change-point problem
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Cited In (17)
- Rank-based change-point analysis for long-range dependent time series
- Title not available (Why is that?)
- Non-parametric change-point tests for long-range dependent data
- Likelihood inference for discriminating between long-memory and change-point models
- Wilcoxon-Signed Rank Test for Long Memory Sequences
- Estimation methods for the LRD parameter under a change in the mean
- Change-point detection in long-memory processes
- Unsupervised segmentation of new semi-Markov chains hidden with long dependence noise
- Change-in-mean problem for long memory time series models with applications
- Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
- A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data
- A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
- On rapid change points under long memory
- A modified Wilcoxon test for change points in long-range dependent time series
- Rank-based multiple change-point detection
- Multiscale detection and location of multiple variance changes in the presence of long memory
- Testing for change points in time series models and limiting theorems for NED sequences
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