Monitoring persistence change in infinite variance observations
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Recommendations
- Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
- Monitoring change in persistence in linear time series
- Sieve bootstrap monitoring persistence change in long memory process
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
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.
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
- CUSUM of Squares‐Based Tests for a Change in Persistence
- Detection of change in persistence of a linear time series
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Long memory versus structural breaks: an overview
- Monitoring change in persistence in linear time series
- Monitoring changes in linear models
- Monitoring procedures to detect unit roots and stationarity
- Persistence change tests and shifting stable autoregressions
- Point processes, regular variation and weak convergence
- ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS
- 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
- Tests of stationarity against a change in persistence
Cited in
(7)- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- Monitoring parameter changes in RCA(\(p\)) models
- The limiting behavior for observations that change with time
- Sieve bootstrap monitoring persistence change in long memory process
- Monitoring change in persistence in linear time series
- Moving ratio test for multiple changes in persistence
- Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
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