Subsampling change-point detection in persistence with heavy-tailed innovations

DOI10.1007/BF02831958MaRDI QIDQ874325zbMATH OpenOpenAlexFDO

Authors Sier Han, Zheng Tian

Publication date 5 April 2007

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02831958

zbMATH Keywords

change in persistencesubsampling tests

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Parametric hypothesis testing (62F03) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Detection of change in persistence of a linear time series
• Limit theory for the sample covariance and correlation functions of moving averages
• On tests for changes in persistence
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Oscillation and stability of nonlinear neutral impulsive delay differential equations
• Point processes, regular variation and weak convergence
• Stability and bifurcation in a diffusive prey-predator system. Nonlinear bifurcation analysis.
• Stable Paretian models in finance
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of stationarity against a change in persistence

Cited in

(11)

• Monitoring persistent change in a heavy-tailed sequence with polynomial trends
• Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Monitoring persistence change in infinite variance observations
• Monitoring change in persistence in linear time series
• Block bootstrap testing for changes in persistence with heavy-tailed innovations
• Subsampling procedures for a heavy-tailed unit root test with structural change
• Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application
• Subsampling for General Statistics under Long Range Dependence with application to change point analysis
• Subsampling tests for the mean change point with heavy-tailed innovations
• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations

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