Sieve bootstrap monitoring persistence change in long memory process

DOI10.4310/SII.2016.V9.N1.A4MaRDI QIDQ1747560zbMATH OpenOpenAlexFDO

Authors Zhanshou Chen, Zheng Tian, Yuhong Xing

Publication date 8 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/sii.2016.v9.n1.a4

zbMATH Keywords

change in persistencemonitoring statisticsmoving ratio statistics

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Fractional processes, including fractional Brownian motion (60G22)

Recommendations

• Sieve bootstrap monitoring for change from short to long memory
• Monitoring mean and variance change-points in long-memory time series
• Monitoring persistence change in infinite variance observations
• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
• Monitoring change in persistence in linear time series

Cited in

(4)

• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
• Monitoring persistence change in infinite variance observations
• Sieve bootstrap monitoring for change from short to long memory
• Monitoring mean and variance change-points in long-memory time series

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