Limit theorems in change-point problems with multivariate long-range dependent observations

DOI10.1524/STND.21.3.283.23432MaRDI QIDQ4451688zbMATHOpenAlexFDO

Authors Lihong Wang

Publication date 1 March 2004

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.21.3.283.23432

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25)

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Cited in

(10)

• Limit theorems in the context of multivariate long-range dependence
• Change-point detection with rank statistics in long-memory time-series models
• A simple test of changes in mean in the possible presence of long-range dependence
• The effect of long-range dependence on change-point estimators
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• Subsampling for General Statistics under Long Range Dependence with application to change point analysis
• Wavelet change-point estimation for long memory non-parametric random design models
• Asymptotics for random functions moderated by dependent noise
• Non-parametric change-point tests for long-range dependent data
• Spurious regression between long memory series due to mis-specified structural breaks

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