Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test
نویسندگان
چکیده
منابع مشابه
Testing for Change Points in Time Series
This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional Kolmogorov–Smirnov test statistic involves a consistent long-run variance estimator, which is needed to make the limiting null distribution free of nuisance parameters. The commonly used lag-window type long-run variance estimator requires to...
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Testing for change points in time series 1
June 4, 2010 Xiaofeng Shao and Xianyang Zhang University of Illinois at Urbana-Champaign Abstract: This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional KolmogorovSmirnov test statistic involves a consistent long run variance estimator, which is needed to make the limiting null distribution free...
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Identifying short and long range change points in an observed time series that consists of stationary segments is a common problem. These change points mark the time boundaries of the segments where the time series leaves one stationary state and enters another. Due to certain technical advantages, analysis is carried out in the frequency domain to identify such change points in the time domain...
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Model specification of short–range dependent stationary time series has become a very active research field in both econometrics and statistics since about two decades ago. In the meantime, estimation of long–range dependent stationary time series models has also been quite active. To the best of our knowledge, however, model specification of stationary time series with long–range dependence (L...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2016
ISSN: 0143-9782
DOI: 10.1111/jtsa.12187