Monitoring persistence change in infinite variance observations
DOI10.1016/J.JKSS.2011.06.001zbMATH Open1296.62157OpenAlexW1972268194MaRDI QIDQ744739FDOQ744739
Authors: Zhanshou Chen, Zheng Tian, Chunhui Zhao 
Publication date: 26 September 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2011.06.001
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Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10)
Cites Work
- Tests of stationarity against a change in persistence
- Testing for a break in persistence under long-range dependencies
- Stable Paretian models in finance
- Detection of change in persistence of a linear time series
- Title not available (Why is that?)
- CUSUM of Squares‐Based Tests for a Change in Persistence
- Monitoring changes in linear models
- Point processes, regular variation and weak convergence
- Long memory versus structural breaks: an overview
- ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS
- 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
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Persistence change tests and shifting stable autoregressions
- Monitoring procedures to detect unit roots and stationarity
- Subsampling the mean of heavy‐tailed dependent observations
- 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
- 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
Cited In (7)
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- Monitoring change in persistence in linear time series
- The limiting behavior for observations that change with time
- Sieve bootstrap monitoring persistence change in long memory process
- Moving ratio test for multiple changes in persistence
- Monitoring parameter changes in RCA(\(p\)) models
- Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
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