A modified Wilcoxon test for change points in long-range dependent time series

DOI10.1016/j.econlet.2020.109237zbMath1443.62120OpenAlexW3025519136MaRDI QIDQ777757

Vivien Less, Kai Wenger

Publication date: 7 July 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109237

zbMATH Keywords

Wilcoxon testlong memorystructural breaksfixed bandwidth asymptotics

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test
• A simple test on structural change in long-memory time series
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Gaussian semiparametric estimation of long range dependence
• Structural breaks in time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Automatic Lag Selection in Covariance Matrix Estimation
• Subsampling for General Statistics under Long Range Dependence with application to change point analysis
• A Self-Normalized Approach to Confidence Interval Construction in Time Series
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

This page was built for publication: A modified Wilcoxon test for change points in long-range dependent time series