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

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

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
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Cited in

(6)

• Sieve bootstrap monitoring for change from short to long memory
• Monitoring mean and variance change-points in long-memory time series
• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
• Subsampling ratio tests for structural changes in time series with heavy-tailed AR( p ) errors
• Sieve bootstrap test for changes between unit root and long memory process with time trend
• Monitoring persistence change in infinite variance observations

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