Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations

DOI10.1080/03610920701215415zbMath1124.62029MaRDI QIDQ5421577

Sier Han, Zheng Tian

Publication date: 24 October 2007

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

Full work available at URL: https://doi.org/10.1080/03610920701215415

zbMATH Keywords

bootstrap tests; ratio tests

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62F03: Parametric hypothesis testing

60F05: Central limit and other weak theorems

62F40: Bootstrap, jackknife and other resampling methods

62G09: Nonparametric statistical resampling methods

65C05: Monte Carlo methods

Related Items

Block bootstrap testing for changes in persistence with heavy-tailed innovations, Wilcoxon rank test for change in persistence, Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations, Monitoring persistent change in a heavy-tailed sequence with polynomial trends, Bootstrap testing multiple changes in persistence for a heavy-tailed sequence, Monitoring persistence change in infinite variance observations, Monitoring change in persistence in linear time series, A robust test for mean change in dependent observations

Cites Work

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• On tests for changes in persistence
• Bootstrap of the mean in the infinite variance case
• Detection of change in persistence of a linear time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Point processes, regular variation and weak convergence
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Subsampling the mean of heavy‐tailed dependent observations