Self-Normalization for Time Series: A Review of Recent Developments

DOI10.1080/01621459.2015.1050493zbMATH Open1373.62456OpenAlexW2214892024MaRDI QIDQ5367488FDOQ5367488

Xiaofeng Shao

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2015.1050493

zbMATH Keywords

time seriesdependenceresamplingself-normalizationlong memoryinferencelocally stationarystudentization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (49)

• A mean-difference test based on self-normalization for alternating regime index data sets
• Adaptive Inference for Change Points in High-Dimensional Data
• On optimal segmentation and parameter tuning for multiple change-point detection and inference
• Adaptive Change Point Monitoring for High-Dimensional Data
• Time series analysis of COVID-19 infection curve: a change-point perspective
• Inference for change points in high-dimensional data via selfnormalization
• Hypothesis testing for high-dimensional time series via self-normalization
• Title not available (Why is that?)
• Rank-based change-point analysis for long-range dependent time series
• Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
• Portmanteau tests for periodic ARMA models with dependent errors
• QUANTILOGRAMS UNDER STRONG DEPENDENCE
• Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series
• Statistical inference for the slope parameter in functional linear regression
• An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence
• Unsupervised Self-Normalized Change-Point Testing for Time Series
• A distribution free test for changes in the trend function of locally stationary processes
• Title not available (Why is that?)
• Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
• A unified approach to self-normalized block sampling
• Robust inference for change points in high dimension
• Ratio tests under limiting normality
• Estimating FARIMA models with uncorrelated but non-independent error terms
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• Robust inference theory for non-regular time series models and its extensions
• Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
• Subsampling based inference for \(U\) statistics under thick tails using self-normalization
• Optimal difference-based variance estimators in time series: a general framework
• Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
• Detection of a structural break in intraday volatility pattern
• Self-normalized inference for stationarity of irregular spatial data
• Goodness-of-fit tests for SPARMA models with dependent error terms
• A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests
• Two-sample and change-point inference for non-Euclidean valued time series
• Reassessing the evidence on factor and portfolio premia
• Inference in Heavy-Tailed Nonstationary Multivariate Time Series
• Pivotal tests for relevant differences in the second order dynamics of functional time series
• A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters
• A self-normalization test for correlation change
• Data-driven estimation of change-points with mean shift
• Higher-Order Expansions and Inference for Panel Data Models
• Measuring and comparing risks of different types
• Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations
• Spline based Hermite quasi-interpolation for univariate time series
• Validating approximate slope homogeneity in large panels
• Anomaly detection: a functional analysis perspective
• Dating the break in high-dimensional data
• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms

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