Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
DOI10.1016/J.CSDA.2012.01.011zbMATH Open1252.62086OpenAlexW2084235223MaRDI QIDQ693235FDOQ693235
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
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- Title not available (Why is that?)
- CUSUM of Squares‐Based Tests for a Change in Persistence
- Parameter estimation for infinite variance fractional ARIMA
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- Testing for a change in persistence in the presence of non-stationary volatility
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
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- Persistence change tests and shifting stable autoregressions
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- Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
- Subsampling change-point detection in persistence with heavy-tailed innovations
- Monitoring change in persistence in linear time series
- Detecting Multiple Changes in Persistence
- Consistency of change point estimators for symmetrical stable distribution with parameters shift
- Testing for independence in heavy-tailed time series using the codifference function
Cited In (13)
- Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
- Detecting Multiple Changes in Persistence
- Subsampling change-point detection in persistence with heavy-tailed innovations
- Generalized Cauchy model of sea level fluctuations with long-range dependence
- Block bootstrap testing for changes in persistence with heavy-tailed innovations
- Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations
- Sieve bootstrap monitoring for change from short to long memory
- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- Monitoring parameter changes in RCA(\(p\)) models
- Structural Change Monitoring for Random Coefficient Autoregressive Time Series
- 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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