Monitoring change in persistence in linear time series

DOI10.1016/J.SPL.2010.06.004MaRDI QIDQ990920zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

average run lengthmonitoringchange in persistencevariance shift

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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

Cites work

• Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
• Detection of change in persistence of a linear time series
• Monitoring Structural Change
• Monitoring changes in linear models
• Monitoring parameter change in AR\((p)\) time series models
• Monitoring procedures to detect unit roots and stationarity
• Monitoring unit root and multiple structural changes: An information criterion approach
• Nonparametric tests for unit roots and cointegration.
• On tests for changes in persistence
• Recent advances in invariance principles for stationary sequences
• Subsampling change-point detection in persistence with heavy-tailed innovations
• Testing for a change in persistence in the presence of non-stationary volatility
• Tests of stationarity against a change in persistence

Cited in

(11)

• Monitoring persistent change in a heavy-tailed sequence with polynomial trends
• Structural change monitoring for random coefficient autoregressive time series
• 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
• Wilcoxon rank test for change in persistence
• Sieve bootstrap monitoring persistence change in long memory process
• Moving ratio test for multiple changes in persistence
• Monitoring procedures to detect unit roots and stationarity
• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations

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