A strong convergence rate of estimator of variance change in linear processes and its applications
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Publication:5280364
DOI10.1080/02331888.2016.1268614zbMath1371.62015OpenAlexW2563323801MaRDI QIDQ5280364
Ruibing Qin, Zheng Tian, Weiqi Liu
Publication date: 20 July 2017
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2016.1268614
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)
Related Items (3)
Strong convergence rates of multiple change-point estimator for ρ-mixing sequence ⋮ An efficient algorithm to estimate the change in variance ⋮ Detection of multiple change points for linear processes under negatively super-additive dependence
Cites Work
- Detection of multiple changes in a sequence of dependent variables
- Change-of-variance problem for linear processes with long memory
- Strong convergence rate of estimators of change point and its application
- An efficient algorithm for estimating a change-point
- Testing for changes in the covariance structure of linear processes
- Asymptotics for linear processes
- Change-point estimation in ARCH models
- Change detection in autoregressive time series
- Structural breaks in time series
- Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes
- Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations
- Ratio test to detect change in the variance of linear process
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