Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
From MaRDI portal
Publication:693235
DOI10.1016/j.csda.2012.01.011zbMath1252.62086MaRDI QIDQ693235
Zi Jin, Zheng Tian, Peiyan Qi, Zhanshou Chen
Publication date: 7 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2012.01.011
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
62G09: Nonparametric statistical resampling methods
62M07: Non-Markovian processes: hypothesis testing
Related Items
Block bootstrap testing for changes in persistence with heavy-tailed innovations, Ratio detections for change point in heavy tailed observations, Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations, Structural Change Monitoring for Random Coefficient Autoregressive Time Series, Testing for persistence change in fractionally integrated models: an application to world inflation rates, Sieve bootstrap monitoring for change from short to long memory, Generalized Cauchy model of sea level fluctuations with long-range dependence, Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics, Monitoring parameter changes in RCA(\(p\)) models
Cites Work
- Unnamed Item
- Unnamed Item
- Tests of stationarity against a change in persistence
- Modified tests for a change in persistence
- Testing for a break in persistence under long-range dependencies
- Testing for a change in persistence in the presence of non-stationary volatility
- Subsampling change-point detection in persistence with heavy-tailed innovations
- Consistency of change point estimators for symmetrical stable distribution with parameters shift
- Testing for independence in heavy-tailed time series using the codifference function
- Monitoring change in persistence in linear time series
- Parameter estimation for infinite variance fractional ARIMA
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Persistence change tests and shifting stable autoregressions
- Detection of change in persistence of a linear time series
- Subsampling the mean of heavy‐tailed dependent observations
- Efficient Tests for an Autoregressive Unit Root
- Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
- CUSUM of Squares‐Based Tests for a Change in Persistence
- Detecting Multiple Changes in Persistence
