Subsampling procedures for a heavy-tailed unit root test with structural change

MaRDI QIDQ3074119zbMATH OpenFDO

Authors Ruibing Qin, Zheng Tian

Publication date 5 February 2011

zbMATH Keywords

change pointprocesses with infinite variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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(5)

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• Subsampling tests for the mean change point with heavy-tailed innovations

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