Testing and estimating in the change-point problem of the spectral function

DOI10.1007/BF00970969MaRDI QIDQ1324835zbMATH OpenFDO

Authors L. Giraitis, Remigijus Leipus

Publication date 19 July 1994

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

piecewise stationaritychange-point problemrandom fieldsfunctional central limit theoremspectral functionsconsistent estimatorsmagnitude of jumpspectrum of a stationary sequence

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17)

Recommendations

• scientific article; zbMATH DE number 13332
• The multiple change-points problem for the spectral distribution
• Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function

Cites work

• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Asymptotic inference in stationary Gaussian time-series
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Detecting changes in signals and systems - a survey
• Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
• Nonparametric change-point estimation
• Nonparametric tests for the changepoint problem
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Testing and estimating change-points in time series
• Testing that a Gaussian process is stationary
• The asymptotic local approach to change detection and model validation

Cited in

(18)

• Nonparametric tests of change-points with tapered data
• Detecting Markov random fields hidden in white noise
• Testing for changes in the mean or variance of a stochastic process under weak invariance
• Serial rank statistics for detection of changes.
• The change-point problem for dependent observations
• The multiple change-points problem for the spectral distribution
• Testing for parameter changes in ARCH models
• Detection of multiple change-points in multivariate time series
• The integrated periodogram for long-memory processes with finite or infinite variance
• The periodogram at the Fourier frequencies
• On local power properties of frequency domain-based tests for stationarity
• Gaussian limit fields for the integrated periodogram
• scientific article; zbMATH DE number 13332 (Why is no real title available?)
• On rapid change points under long memory
• Detection of multiple changes in a sequence of dependent variables
• Testing temporal constancy of the spectral structure of a time series
• Change-point problems: bibliography and review
• On parameter estimation for locally stationary long-memory processes

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