Ratio test for variance change point in linear process with long memory

DOI10.1007/S00362-009-0202-3zbMath1247.62214OpenAlexW1983957462MaRDI QIDQ451414

Zheng Tian, Zhiming Xia, Wenzhi Zhao

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0202-3

zbMATH Keywords

consistent test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (7)

Monitoring mean and variance change-points in long-memory time series ⋮ Abrupt change in mean using block bootstrap and avoiding variance estimation ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Bootstrap procedures for variance breaks test in time series with a changing trend ⋮ A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes ⋮ Modified tests for change points in variance in the possible presence of mean breaks ⋮ Change-Point Detection for Variance Piecewise Constant Models

Cites Work

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• Noncentral limit theorems and Appell polynomials
• Inferences about the parameters of a time series model with changing variance
• Change-of-variance problem for linear processes with long memory
• Limit theorems for functionals of moving averages
• Detection of change in persistence of a linear time series
• On the Stable Paretian Behavior of Stock-Market Prices
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• Fractional Brownian Motions, Fractional Noises and Applications

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