Subsampling change-point detection in persistence with heavy-tailed innovations
DOI10.1007/BF02831958zbMATH Open1109.62074OpenAlexW2005797421MaRDI QIDQ874325FDOQ874325
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
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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)
Cites Work
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- Stable Paretian models in finance
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Title not available (Why is that?)
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Detection of change in persistence of a linear time series
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- Limit theory for the sample covariance and correlation functions of moving averages
- Point processes, regular variation and weak convergence
- Stability and bifurcation in a diffusive prey-predator system. Nonlinear bifurcation analysis.
- Oscillation and stability of nonlinear neutral impulsive delay differential equations
Cited In (8)
- 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
- Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations
- Subsampling for General Statistics under Long Range Dependence with application to change point analysis
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