Subsampling tests for variance changes in the presence of autoregressive parameter shifts

DOI10.1016/j.jmva.2010.04.010zbMath1198.62096OpenAlexW2017542078MaRDI QIDQ604339

Hao Jin, Jinsuo Zhang

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.04.010

zbMATH Keywords

Brownian bridgeinvariance principlesubsamplingvariance changesautoregressive parameter shiftsRCUSQ test

Mathematics Subject Classification ID

Related Items (2)

The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ A test for the equality of monotone transformations of two random variables

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