Detection and estimation of structural change in heavy-tailed sequence

DOI10.1080/03610926.2015.1006780MaRDI QIDQ2980141zbMATH OpenOpenAlexFDO

Authors

Publication date 27 April 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1006780

zbMATH Keywords

change pointbootstrap testheavy-tailed sequenceratio estimation

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10)

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Cites work

• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• A new class of models for heavy tailed distributions in finance and insurance risk
• Bootstrap tests for structural change with infinite variance observations
• Change point estimation for continuous-time hidden Markov models
• Change-point in the mean of dependent observations
• Heavy-tailedness and threshold sex determination
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Least-squares estimation of an unknown number of shifts in a time series
• On linear models with long memory and heavy-tailed errors
• Point processes, regular variation and weak convergence
• Subsampling the mean of heavy‐tailed dependent observations
• Testing for parameter stability in quantile regression models
• The maximum likelihood method for testing changes in the parameters of normal observations
• The sample autocorrelations of heavy-tailed processes with applications to ARCH

Cited in

(7)

• Ratio detections for change point in heavy tailed observations
• Monitoring persistent change in a heavy-tailed sequence with polynomial trends
• A computationally efficient approach on detecting star-shaped change boundaries in random fields with heavy-tailed distributions
• A tail adaptive approach for change point detection
• Nuisance-parameter-free changepoint detection in non-stationary series
• Abrupt change in mean using block bootstrap and avoiding variance estimation
• Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics

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