Subsampling for General Statistics under Long Range Dependence with application to change point analysis

zbMath1394.62117arXiv1509.05720MaRDI QIDQ4571205

Martin Wendler, Annika Betken

Publication date: 6 July 2018

Full work available at URL: https://arxiv.org/abs/1509.05720

zbMATH Keywords

Gaussian processeslong range dependencesubsamplingchange-point test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (8)

A unified approach to self-normalized block sampling ⋮ Rank-based change-point analysis for long-range dependent time series ⋮ Nuisance-parameter-free changepoint detection in non-stationary series ⋮ Convolved subsampling estimation with applications to block bootstrap ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Bootstrap confidence intervals for multiple change points based on moving sum procedures ⋮ A modified Wilcoxon test for change points in long-range dependent time series ⋮ On optimal block resampling for Gaussian-subordinated long-range dependent processes

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