Sieve bootstrap monitoring for change from short to long memory

DOI10.1016/j.econlet.2015.12.023zbMath1398.62227OpenAlexW2252221356MaRDI QIDQ1668144

Yuhong Xing, Fuxiao Li, Zhanshou Chen

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.12.023

zbMATH Keywords

long memory processsieve bootstrapchange point monitoringshort memory process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Monitoring mean and variance change-points in long-memory time series

Cites Work

• Testing for a break in persistence under long-range dependencies
• Detecting changes from short to long memory
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Recent advances in invariance principles for stationary sequences
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• Sieve bootstrap monitoring persistence change in long memory process
• Detection of change in persistence of a linear time series
• CUSUM of Squares‐Based Tests for a Change in Persistence
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