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

DOI10.1007/BF00970969zbMath0794.62066MaRDI QIDQ1324835

Liudas Giraitis, Remigijus Leipus

Publication date: 19 July 1994

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

zbMATH Keywords

functional central limit theoremchange-point problemrandom fieldsspectral functionsconsistent estimatorsmagnitude of jumppiecewise stationarityspectrum of a stationary sequence

Mathematics Subject Classification ID

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

Related Items

Testing temporal constancy of the spectral structure of a time series, The integrated periodogram for long-memory processes with finite or infinite variance, The change-point problem for dependent observations, The periodogram at the Fourier frequencies, Serial rank statistics for detection of changes., Detection of multiple change-points in multivariate time series, Detecting Markov random fields hidden in white noise, Testing for changes in the mean or variance of a stochastic process under weak invariance, On rapid change points under long memory, Detection of multiple changes in a sequence of dependent variables, On parameter estimation for locally stationary long-memory processes, On Local Power Properties of Frequency Domain‐based Tests for Stationarity, Testing for parameter changes in ARCH models, Change-point problems: bibliography and review, Gaussian limit fields for the integrated periodogram

Cites Work

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