Tests for Scale Changes Based on Pairwise Differences
From MaRDI portal
Publication:5120672
DOI10.1080/01621459.2019.1629938zbMath1441.62223arXiv1611.04158OpenAlexW2556656383MaRDI QIDQ5120672
Carina Gerstenberger, Martin Wendler, Daniel Vogel
Publication date: 15 September 2020
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.04158
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
- Testing the constancy of Spearman's rho in multivariate time series
- Dependent wild bootstrap for degenerate \(U\)- and \(V\)-statistics
- On the efficiency of Gini's mean difference
- Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications
- Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
- Break detection in the covariance structure of multivariate time series models
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- The jackknife and the bootstrap for general stationary observations
- A new fluctuation test for constant variances with applications to finance
- Estimation of the variance of partial sums of dependent processes
- Normal limits, nonnormal limits, and the bootstrap for quantiles of dependent data
- Studentized \(U\)-quantile processes under dependence with applications to change-point analysis
- Tapered block bootstrap
- The Influence Curve and Its Role in Robust Estimation
- Alternatives to the Median Absolute Deviation
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- The Stationary Bootstrap
- Automatic Block-Length Selection for the Dependent Bootstrap
- Adaptive bandwidth choice
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Dependent Wild Bootstrap for the Empirical Process
- The Dependent Wild Bootstrap
- Testing for Change Points in Time Series
- TESTING FOR CHANGES IN KENDALL’S TAU
- Robust Statistics
- THE STANDARD ERROR OF GINI'S MEAN DIFFERENCE
- Robust Statistics
This page was built for publication: Tests for Scale Changes Based on Pairwise Differences