Local Fourier tests for structural change based on residuals
DOI10.1080/03610926.2014.988259zbMath1360.62130OpenAlexW2524289482MaRDI QIDQ2980048
Publication date: 27 April 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.988259
stochastic processCUSUMMOSUMBrownian bridge processchange-point modellocal Fourier estimatormoving estimatesample Fourier coefficients
Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Approximations to statistical distributions (nonasymptotic) (62E17) Spatial models in economics (91B72)
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