Threshold estimation under strong dependence
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Cites work
- A Markov model for switching regressions
- A test for a change in a parameter occurring at an unknown point
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- A unified approach to self-normalized block sampling
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- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Convergence of integrated processes of arbitrary Hermite rank
- Empirical process of long-range dependent sequences when parameters are estimated
- Empirical process of residuals for regression models with long memory errors
- Estimating Mixtures of Normal Distributions and Switching Regressions
- Fitting Segmented Curves Whose Join Points Have to be Estimated
- Fractional differencing
- Generating schemes for long memory processes: regimes, aggregation and linearity
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- Large sample inference for long memory processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Long memory and regime switching
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks
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- Long-Range Dependence and Self-Similarity
- M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
- M-estimators in linear models with long range dependent errors
- Modelling structural breaks, long memory and stock market volatility: an overview
- Non-central limit theorems for non-linear functional of Gaussian fields
- On discriminating between long-range dependence and changes in mean
- On rapid change points under long memory
- On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
- Power of change-point tests for long-range dependent data
- Sample Splitting and Threshold Estimation
- Slowly Decaying Correlations, Testing Normality, Nuisance Parameters
- Stochastic processes and long range dependence
- Testing for structural change in a long-memory environment
- Testing for structural change in regression with long memory processes
- Testing for the expected number of exceedances in strongly dependent seasonal time series
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- The change-point problem for dependent observations
- The effect of dependence on chi-squared and empiric distribution tests of fit
- The effect of long-range dependence on change-point estimators
- The empirical process for bivariate sequences with long memory
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
- Threshold models in non-linear time series analysis
- Weak convergence to fractional brownian motion and to the rosenblatt process
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