ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES

DOI10.1017/S0266466608090130zbMath1279.62180OpenAlexW2020772731MaRDI QIDQ3632430

Marie Hušková, Alexander Aue, Lajos Horváth, Shiqing Ling

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608090130

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Testing for parameter constancy in general causal time-series models, Distinguishing between breaks in the mean and breaks in persistence under long memory, Extensions of some classical methods in change point analysis, A simple test of changes in mean in the possible presence of long-range dependence, Discussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. Shiryaev, Structural breaks in time series, Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration

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