Bootstrap procedures for variance breaks test in time series with a changing trend

DOI10.1080/03610926.2017.1377256OpenAlexW2752695981MaRDI QIDQ5154101FDOQ5154101

Authors: Hao Jin, Si Zhang, Jinsuo Zhang, Shou-Gang Zhang 

Publication date: 1 October 2021

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1377256

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zbMATH Keywords

bootstrapvariance breaksCUSSQ testchanging trends

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Functional limit theorems; invariance principles (60F17)

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Cited In (2)

• Modified tests for change points in variance in the possible presence of mean breaks
• Testing for variance changes in AR$(p)$ models based on bootstrap method

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