Bootstrap tests for structural change with infinite variance observations

DOI10.1016/j.spl.2009.06.008zbMath1171.62078OpenAlexW2077972975MaRDI QIDQ731938

Ruibing Qin, Hao Jin, Zheng Tian

Publication date: 9 October 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.06.008

Mathematics Subject Classification ID

Related Items (7)

The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ Ratio detections for change point in heavy tailed observations ⋮ Subsampling tests for variance changes in the presence of autoregressive parameter shifts ⋮ A quasi-Bayesian change point detection with exchangeable weights ⋮ Modified tests for variance changes in autoregressive regression ⋮ Detection and estimation of structural change in heavy-tailed sequence ⋮ Modified tests for change points in variance in the possible presence of mean breaks

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