The effect of long-range dependence on change-point estimators
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Recommendations
- Change point estimation based on Wilcoxon tests in the presence of long-range dependence
- Rates of convergence for the change-point estimator for long-range dependent sequences
- Convergence rates for estimating a change-point with long-range dependent sequences
- On discriminating between long-range dependence and changes in mean
- Change-point tests under local alternatives for long-range dependent processes
- Limit theorems in change-point problems with multivariate long-range dependent observations
- Non-parametric change-point tests for long-range dependent data
- Power of change-point tests for long-range dependent data
- Change-point detection for long-range dependent sequences in a general setting
Cites work
- scientific article; zbMATH DE number 3960686 (Why is no real title available?)
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Change in autoregressive processes
- Change-point problem and bootstrap
- Cube root asymptotics
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
- Moment Inequalities for the Maximum Cumulative Sum
- On the residuals of autoregressive processes and polynomial regression
- Testing for a change in the parameter values and order of an autoregressive model
- The Effect of Serial Correlation on the Performance of CUSUM Tests
- The effect of serial correlation on tests for parameter change at unknown time
- The joint density of the maximum and its location for a Wiener process with drift
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(50)- A self-normalized semi-parametric test to detect changes in the long memory parameter
- A robust test for mean change in dependent observations
- Long memory versus structural breaks: an overview
- Inference for mean change-point in infinite variance \(AR(p)\) process
- Nonparametric change-point estimation for dependent sequences
- Change-in-mean tests in long-memory time series: a review of recent developments
- Convergence rates for estimating a change-point with long-range dependent sequences
- Estimation methods for the LRD parameter under a change in the mean
- Estimating a common break point in means for long-range dependent panel data
- A modified Wilcoxon test for change points in long-range dependent time series
- Testing for changes in multivariate dependent observations with an application to temperature changes
- Bootstrap testing for discontinuities under long-range dependence
- Gradual changes in long memory processes with applications
- Factor-driven two-regime regression
- Change-point problems: bibliography and review
- Two-sample \(U\)-statistic processes for long-range dependent data
- Serial rank statistics for detection of changes.
- Change-point in the mean of dependent observations
- Change-point detection with rank statistics in long-memory time-series models
- Rates of convergence for the change-point estimator for long-range dependent sequences
- Testing for changes in the mean or variance of a stochastic process under weak invariance
- Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process
- A simple test of changes in mean in the possible presence of long-range dependence
- A simple test on structural change in long-memory time series
- Change-in-mean problem for long memory time series models with applications
- Hajek-Renyi-type inequality for \((\alpha, \beta)\)-mixing sequences and its application to change-point model
- Cumulative sum estimator for change-point in panel data
- The integrated periodogram for long-memory processes with finite or infinite variance
- Subsampling for General Statistics under Long Range Dependence with application to change point analysis
- The S-estimator in the change-point random model with long memory
- Wavelet change-point estimation for long memory non-parametric random design models
- CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES
- Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences
- Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence
- On rapid change points under long memory
- Change-of-variance problem for linear processes with long memory
- Change-point detection for long-range dependent sequences in a general setting
- Fourier–type tests involving martingale difference processes
- On parameter estimation for locally stationary long-memory processes
- Detection of change-points near the end points of long-range dependent sequences
- Change point estimation based on Wilcoxon tests in the presence of long-range dependence
- Inference for single and multiple change-points in time series
- Limit theorems in change-point problems with multivariate long-range dependent observations
- Non-parametric change-point tests for long-range dependent data
- Data-driven estimation of change-points with mean shift
- The CUSUM statistics of change-point models based on dependent sequences
- Change-Point Estimation in Long Memory Nonparametric Models with Applications
- Testing for change in long-memory stochastic volatility time series
- Strong convergence rate of robust estimator of change point
- Monitoring mean and variance change-points in long-memory time series
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