Moving estimates test with time varying bandwidth

DOI10.1016/J.JMVA.2007.02.003zbMATH Open1116.62097OpenAlexW2036252467MaRDI QIDQ996978FDOQ996978

Authors: Okyoung Na, Sangyeol Lee 

Publication date: 19 July 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.02.003

Recommendations

• Tests for parameter changes in time series
• Alternative Tests for Parameter Stability
• Testing for change in mean of independent multivariate observations with time varying covariance
• Testing and estimating change-points in time series
• Testing for change points in time series

zbMATH Keywords

time seriestest for parameter changestrong mixing processescusum testmoving estimates test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Almost sure invariance principles for partial sums of mixing B-valued random variables
• On some global measures of the deviations of density function estimates
• Testing and estimating change-points in time series
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Title not available (Why is that?)
• The effect of serial correlation on tests for parameter change at unknown time
• On strong invariance principles under dependence assumptions
• Conditions for linear processes to be strong-mixing
• The Cusum Test for Parameter Change in Time Series Models
• The generalized fluctuation test: A unifying view
• Title not available (Why is that?)
• On extremal theory for stationary processes
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• Title not available (Why is that?)
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• Tests for parameter changes at unknown times in linear regression models

Cited In (2)

• Long memory with stochastic variance model: a recursive analysis for US inflation
• Title not available (Why is that?)

This page was built for publication: Moving estimates test with time varying bandwidth

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q996978)