Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations

DOI10.1080/03610920701215415zbMath1124.62029OpenAlexW2060936432MaRDI QIDQ5421577

Sier Han, Zheng Tian

Publication date: 24 October 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701215415

zbMATH Keywords

bootstrap testsratio tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items

Monitoring persistent change in a heavy-tailed sequence with polynomial trends ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Wilcoxon rank test for change in persistence ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ A robust test for mean change in dependent observations ⋮ Monitoring change in persistence in linear time series ⋮ Monitoring persistence change in infinite variance observations ⋮ Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations

Cites Work

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• On tests for changes in persistence
• Bootstrap of the mean in the infinite variance case
• Detection of change in persistence of a linear time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Point processes, regular variation and weak convergence
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Subsampling the mean of heavy‐tailed dependent observations