Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
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Publication:693235
DOI10.1016/j.csda.2012.01.011zbMath1252.62086OpenAlexW2084235223MaRDI 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
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)
Related Items (9)
Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ Generalized Cauchy model of sea level fluctuations with long-range dependence ⋮ Ratio detections for change point in heavy tailed observations ⋮ Sieve bootstrap monitoring for change from short to long memory ⋮ Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Monitoring parameter changes in RCA(\(p\)) models ⋮ Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations ⋮ Structural Change Monitoring for Random Coefficient Autoregressive Time Series
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