Monitoring change in persistence in linear time series
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Publication:990920
DOI10.1016/J.SPL.2010.06.004zbMATH Open1201.62117OpenAlexW1970900225MaRDI QIDQ990920FDOQ990920
Authors: Zhanshou Chen, Zheng Tian, Yuesong Wei 
Publication date: 1 September 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2010.06.004
Recommendations
- Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
- Monitoring persistence change in infinite variance observations
- Detection of change in persistence of a linear time series
- Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
- Moving ratio test for multiple changes in persistence
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Tests of stationarity against a change in persistence
- On tests for changes in persistence
- Monitoring Structural Change
- Detection of change in persistence of a linear time series
- Monitoring changes in linear models
- Monitoring parameter change in AR\((p)\) time series models
- Nonparametric tests for unit roots and cointegration.
- Recent advances in invariance principles for stationary sequences
- Testing for a change in persistence in the presence of non-stationary volatility
- Monitoring procedures to detect unit roots and stationarity
- Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
- Subsampling change-point detection in persistence with heavy-tailed innovations
- Monitoring unit root and multiple structural changes: An information criterion approach
Cited In (10)
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
- Monitoring persistence change in infinite variance observations
- Detection of change in persistence of a linear time series
- Likelihood ratio test for change in persistence
- Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations
- Wilcoxon rank test for change in persistence
- Monitoring procedures to detect unit roots and stationarity
- Moving ratio test for multiple changes in persistence
- Structural Change Monitoring for Random Coefficient Autoregressive Time Series
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