CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS
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Publication:2810355
DOI10.1111/j.1467-842X.2008.00515.xzbMath1337.62282MaRDI QIDQ2810355
Publication date: 1 June 2016
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Brownian motion (60J65) Non-Markovian processes: hypothesis testing (62M07)
Related Items (7)
Estimation methods for the LRD parameter under a change in the mean ⋮ Rank-based change-point analysis for long-range dependent time series ⋮ Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data ⋮ Unsupervised segmentation of new semi-Markov chains hidden with long dependence noise ⋮ Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test ⋮ Wilcoxon-Signed Rank Test for Long Memory Sequences ⋮ A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
Uses Software
Cites Work
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