Subsampling change-point detection in persistence with heavy-tailed innovations

DOI10.1007/BF02831958zbMath1109.62074OpenAlexW2005797421MaRDI QIDQ874325

Zheng Tian, Sier Han

Publication date: 5 April 2007

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02831958

zbMATH Keywords

change in persistencesubsampling tests

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items

Monitoring persistent change in a heavy-tailed sequence with polynomial trends ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ 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

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