Truncating estimation for the change in stochastic trend with heavy-tailed innovations

DOI10.1007/S00362-009-0223-YMaRDI QIDQ451494zbMATH OpenOpenAlexFDO

Authors Ruibing Qin, Zheng Tian, Hao Jin

Publication date 23 September 2012

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-009-0223-y

zbMATH Keywords

change-point estimationheavy-tailsstochastic trend

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52) Asymptotic distribution theory in statistics (62E20) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A bayesian analysis of trend determination in economic time series
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Stable Paretian models in finance
• Structural breaks with deterministic and stochastic trends
• Testing for changes in polynomial regression
• Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations

Cited in

(3)

• Fourier inference for stochastic volatility models with heavy-tailed innovations
• Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations
• Truncating estimation and its convergence for a mean change-point in heavy-tailed dependent observations

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