Modelling autoregressive processes with a shifting mean

zbMATH Open1194.62100MaRDI QIDQ3574709FDOQ3574709

Authors:

Publication date: 2 July 2010

Full work available at URL: http://www.bepress.com/snde/vol12/iss1/art1

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cited In (7)

• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Detection and attribution of climate change through econometric methods
• Inference of the trend in a partially linear model with locally stationary regressors
• Sieve bootstrap inference for linear time-varying coefficient models
• Autoregressive wild bootstrap inference for nonparametric trends
• Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
• Testing for co-nonlinearity

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