Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
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Publication:693235
DOI10.1016/J.CSDA.2012.01.011zbMATH Open1252.62086OpenAlexW2084235223MaRDI QIDQ693235FDOQ693235
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Cites work
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
- CUSUM of Squares‐Based Tests for a Change in Persistence
- Consistency of change point estimators for symmetrical stable distribution with parameters shift
- Detecting Multiple Changes in Persistence
- Detection of change in persistence of a linear time series
- Efficient Tests for an Autoregressive Unit Root
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Modified tests for a change in persistence
- Monitoring change in persistence in linear time series
- Parameter estimation for infinite variance fractional ARIMA
- Persistence change tests and shifting stable autoregressions
- Stable Paretian models in finance
- Subsampling change-point detection in persistence with heavy-tailed innovations
- Subsampling the mean of heavy‐tailed dependent observations
- Testing for a break in persistence under long-range dependencies
- Testing for a change in persistence in the presence of non-stationary volatility
- Testing for independence in heavy-tailed time series using the codifference function
- Tests of stationarity against a change in persistence
Cited in
(18)
- Structural change monitoring for random coefficient autoregressive time series
- Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
- Detecting Multiple Changes in Persistence
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- Subsampling change-point detection in persistence with heavy-tailed innovations
- Monitoring change in persistence in linear time series
- Generalized Cauchy model of sea level fluctuations with long-range dependence
- Block bootstrap testing for changes in persistence with heavy-tailed innovations
- Testing for a change in persistence in the presence of non-stationary volatility
- Sieve bootstrap monitoring for change from short to long memory
- Moving ratio test for multiple changes in persistence
- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- Monitoring parameter changes in RCA(\(p\)) models
- Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
- Bootstrap testing for persistence changes with heavy-tailed dependent sequences
- CUSUM of Squares‐Based Tests for a Change in Persistence
- Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics
- Ratio detections for change point in heavy tailed observations
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