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Subsampling ratio tests for structural changes in time series with heavy-tailed AR( p ) errors
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References

  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 2005Dealing with Structural Breaks701 cited
  • 1990The tail index of exchange rate returns252 cited
  • 2000Detection of change in persistence of a linear time series225 cited
  • 2004Structural breaks with deterministic and stochastic trends225 cited
  • 2009Structural Breaks in Financial Time Series92 cited
  • 2011A simple test of changes in mean in the possible presence of long-range dependence64 cited
  • 2008Ratio tests for change point detection38 cited
  • 2017Estimation and Inference of Change Points in High Dimensional Factor Models38 cited
  • 2019Nuisance-parameter-free changepoint detection in non-stationary series32 cited
  • 2004Subsampling the mean of heavy‐tailed dependent observations30 cited
  • 2009Ratio test for variance change point in linear process with long memory29 cited
  • 2015Testing for structural change under non‐stationary variances28 cited
  • 2016Detecting change-points for shifts in mean and variance using fuzzy classification maximum likelihood change-point algorithms17 cited

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  • 2016A CUSUM test for panel mean change detection14 cited
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