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

DOI10.1007/s00362-009-0223-yzbMath1247.60046OpenAlexW2065533682MaRDI QIDQ451494

Ruibing Qin, Hao Jin, Zheng Tian

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

heavy-tailschange-point estimationstochastic trend

Mathematics Subject Classification ID

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

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Cites Work

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• Structural breaks with deterministic and stochastic trends
• Testing for changes in polynomial regression
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• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
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• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• A bayesian analysis of trend determination in economic time series
• Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations

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