Statistical tests for a single change in mean against long-range dependence
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Recommendations
- A simple test of changes in mean in the possible presence of long-range dependence
- On discriminating between long-range dependence and changes in mean
- Testing for a change of the long-memory parameter
- A modified Wilcoxon test for change points in long-range dependent time series
- Change-in-mean tests in long-memory time series: a review of recent developments
Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 2174795 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- A critical look at Lo's modified \(R/S\) statistic.
- A new simple test against spurious long memory using temporal aggregation
- A test against spurious long memory
- An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
- Changes of structure in financial time series and the GARCH model
- Change‐Point Estimation of Fractionally Integrated Processes
- Fractional integration and structural breaks at unknown periods of time
- Gaussian semiparametric estimation of long range dependence
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL
- Log-periodogram regression of time series with long range dependence
- Long Range Dependence
- Long memory and regime switching
- Long-Term Memory in Stock Market Prices
- Long‐Memory Time Series
- Nonstationarity-extended local Whittle estimation
- On discriminating between long-range dependence and changes in mean
- Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing Models of Low-Frequency Variability
- Testing for a Structural Break at Unknown Date with Long-memory Disturbances
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Unit root log periodogram regression
- Wavelet-domain test for long-range dependence in the presence of a trend
Cited in
(18)- Testing for a single mean with transformed data
- Tests for volatility shifts in GARCH against long-range dependence
- Empirical likelihood testing for memory parameter in Gaussian and non-Gaussion stationary time series
- Testing for change in mean for associated random variables
- Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
- A piecewise polynomial trend against long range dependence
- Structural breaks in time series
- scientific article; zbMATH DE number 7071450 (Why is no real title available?)
- On discriminating between long-range dependence and changes in mean
- Can Markov switching model generate long memory?
- Robust discrimination between long-range dependence and a change in mean
- An omnibus test to detect time-heterogeneity in time series
- A simple test of changes in mean in the possible presence of long-range dependence
- Testing for a change of the long-memory parameter
- Test of change point versus long-range dependence in functional time series
- Change-in-mean tests in long-memory time series: a review of recent developments
- Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
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