Bootstrap testing for discontinuities under long-range dependence
From MaRDI portal
Publication:764501
DOI10.1016/J.JMVA.2011.10.003zbMATH Open1236.62036OpenAlexW2010129873MaRDI QIDQ764501FDOQ764501
Publication date: 13 March 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2011.10.003
Recommendations
- Wavelet-domain test for long-range dependence in the presence of a trend
- Testing for structural change in regression with long memory processes
- A simple test of changes in mean in the possible presence of long-range dependence
- Long memory versus structural breaks: an overview
- A piecewise polynomial trend against long range dependence
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Cites Work
- Title not available (Why is that?)
- The effect of long-range dependence on change-point estimators
- Ideal spatial adaptation by wavelet shrinkage
- Mathematical analysis II. Transl. from the 4th Russian edition by Roger Cooke
- Adapting to Unknown Smoothness via Wavelet Shrinkage
- Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
- Non-parametric curve estimation by wavelet thresholding with locally stationary errors
- Title not available (Why is that?)
- Ten Lectures on Wavelets
- Wavelet Thresholding via A Bayesian Approach
- Title not available (Why is that?)
- Some uses if cumulants in wavelet analysis
- Title not available (Why is that?)
- Convergence of stochastic processes
- Nonparametric regression with long-range dependence
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Wavelets on the interval and fast wavelet transforms
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
- Log-periodogram regression of time series with long range dependence
- Testing for structural change in a long-memory environment
- Gaussian semiparametric estimation of long range dependence
- On discriminating between long-range dependence and changes in mean
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Modelling structural breaks, long memory and stock market volatility: an overview
- Testing for structural change in regression with long memory processes
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Bayesian methods for change-point detection in long-range dependent processes
- Testing for a Structural Break at Unknown Date with Long-memory Disturbances
- Long memory and regime switching
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimating the degree of activity of jumps in high frequency data
- Minimax estimation via wavelet shrinkage
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Nonparametric inference on structural breaks
- Wavestrapping time series: Adaptive wavelet-based bootstrapping
- Asymptotics for wavelet based estimates of piecewise smooth regression for stationary time series
- Large-sample inference for nonparametric regression with dependent errors
- Broadband log-periodogram regression of time series with long-range dependence
- Local polynomial fitting with long-memory, short-memory and antipersistent errors
- Formulae for mean integrated squared error of nonlinear wavelet-based density estimators
- Nonparametric regression under long-range dependent normal errors
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Bandwidth selection for kernel regression with long-range dependent errors
- Long memory versus structural breaks: an overview
- Title not available (Why is that?)
- Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
- On the moving block bootstrap under long range dependence
- Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
- Fitting long-memory models by generalized linear regression
- Title not available (Why is that?)
- Function estimation via wavelet shrinkage for long-memory data
- On asymptotically optimal wavelet estimation of trend functions under long-range dependence
- Title not available (Why is that?)
- Title not available (Why is that?)
- Nonparametric regression with dependent errors
- Mean integrated squared error of nonlinear wavelet-based estimators with long memory data
- Change-point detection in long-memory processes
- Fractional integration and structural breaks at unknown periods of time
- Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- Bootstrapping the log-periodogram regression
- Title not available (Why is that?)
Cited In (1)
Uses Software
This page was built for publication: Bootstrap testing for discontinuities under long-range dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q764501)
