Testing for a break in persistence under long-range dependencies

DOI10.1111/J.1467-9892.2009.00611.XMaRDI QIDQ135936zbMATHOpenAlexFDO

Authors Philipp Sibbertsen, Robinson Kruse, Philipp Sibbertsen, Robinson Kruse

Publication date May 2009

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-381.pdf

zbMATH Keywords

CUSUMARFIMA(p,d,q) processlong memorysquares-based test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Detecting changes from short to long memory
• Distinguishing between breaks in the mean and breaks in persistence under long memory
• Testing for a break in persistence under long-range dependencies and mean shifts
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
• Testing for structural change in a long-memory environment

Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Detection of change in persistence of a linear time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a change of the long-memory parameter
• Tests for a change in persistence against the null of difference‐stationarity
• Tests of stationarity against a change in persistence

Cited in

(20)

• Distinguishing between breaks in the mean and breaks in persistence under long memory
• Changes in persistence, spurious regressions and the Fisher hypothesis
• Asymptotics of partial sums of linear processes with changing memory parameter
• Discriminating between long-range dependence and non-stationarity
• Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
• Testing for a rational bubble under long memory
• Monitoring persistent change in a heavy-tailed sequence with polynomial trends
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
• When long memory meets the Kalman filter: a comparative study
• Bootstrapping regression models with locally stationary disturbances
• Detecting changes from short to long memory
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
• Testing for a break in persistence under long-range dependencies and mean shifts
• Monitoring persistence change in infinite variance observations
• Sieve bootstrap monitoring for change from short to long memory
• Semiparametric detection of changes in long range dependence
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• Constancy test for FARIMA long memory processes
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

Describes a project that uses

Uses Software

• R

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