Testing for changes in autocovariances of nonparametric time series models

DOI10.1016/j.jspi.2012.07.012zbMath1254.62061OpenAlexW2073546391WikidataQ41897900 ScholiaQ41897900MaRDI QIDQ1926538

Zhibiao Zhao, Xiaoye Li

Publication date: 28 December 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc3519450

zbMATH Keywords

functional central limit theoremtime seriesinterest ratesnonparametric regressionautocovariancechange-point analysisweighted partial sum

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items (2)

Functional Estimation and Change Detection for Nonstationary Time Series ⋮ Testing and estimating change-points in the covariance matrix of a high-dimensional time series

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