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Change-point tests under local alternatives for long-range dependent processes
16 references·1 citing·38 second hop
Change-point tests under local alternatives for long-range dependent processes (2017)Change-point tests under local alternativ…Testing for Change‐Points in Long‐Range Dependent Time Series by Means of a Self‐Normalized Wilcoxon Test (2016)Testing for Change‐Points in …Long‐Memory Processes (2014)Long‐Memory ProcessesLong-Memory Processes (2013)Long-Memory ProcessesNon‐Parametric Change‐Point Tests for Long‐Range Dependent Data (2012)Non‐Parametric Change‐Point T…A simple test of changes in mean in the possible presence of long-range dependence (2011)A simple test of changes in m…Two estimators of the long-run variance: Beyond short memory (2009)Two estimators of the long-ru…Testing for change points in time series models and limiting theorems for NED sequences (2007)Testing for change points in …On discriminating between long-range dependence and changes in mean (2006)On discriminating between lon…TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES (2001)TESTING FOR DISTRIBUTIONAL CH…On the sampling window method for long-range dependent data (1998)On the sampling window method…The effect of long-range dependence on change-point estimators (1997)The effect of long-range depe…Limit theorems in change-point analysis (1997)Limit theorems in change-poin…The change-point problem for dependent observations (1996)The change-point problem for …Testing for a change of the long-memory parameter (1996)Testing for a change of the l…Convergence of integrated processes of arbitrary Hermite rank (1979)Convergence of integrated pro…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Detecting Multiple Change Points: The PULSE Criterion (2021)Detecting Multiple Change Poi…Break detection in the covariance structure of multivariate time series models (2009)Generalized Hermite processes, discrete chaos and limit theorems (2014)Threshold models in time series analysis—Some reflections (2015)Data segmentation algorithms: Univariate mean change and beyond (2021)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Emergent complexity matching in interpersonal coordination: Local dynamics and global variability. (2015)Fractional Brownian Motions, Fractional Noises and Applications (1968)Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)Bayesian methods for change‐point detection in long‐range dependent processes (2002)Testing for homogeneity of variance in time series: Long memory, wavelets, and the Nile River (2002)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes. (1996)Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes (1999)Long memory versus structural breaks: An overview (2004)Inference for single and multiple change-points in time series (2013)Multiple Wiener Integral (1951)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stein’s method on Wiener chaos (2008)Modelling Nonlinear Economic Time Series (2010)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Optimal Detection of Changepoints With a Linear Computational Cost (2012)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)A consistent test for nonlinear out of sample predictive accuracy (2002)Bayesian Analysis of Stochastic Volatility Models (2002)Testing for Change Points in Time Series (2010)TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD (2011)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis (1972)On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)Statistics in Musicology (2003)A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 (2017)A Global-Scale Investigation of Stochastic Similarities in Marginal Distribution and Dependence Structure of Key Hydrological-Cycle Processes (2021)Dealing with Structural Breaks (2005)Structural breaks in time series (2012)Selective review of offline change point detection methods (2019)
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References

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  • 2006On discriminating between long-range dependence and changes in mean160 cited
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  • 1997The effect of long-range dependence on change-point estimators85 cited
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  • 1998On the sampling window method for long-range dependent data70 cited
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  • 2011A simple test of changes in mean in the possible presence of long-range dependence64 cited
  • 2007Testing for change points in time series models and limiting theorems for NED sequences51 cited
  • 2009Two estimators of the long-run variance: Beyond short memory45 cited
  • 2016

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Testing for Change‐Points in Long‐Range Dependent Time Series by Means of a Self‐Normalized Wilcoxon Test
42 cited

Cited by

  • 2021Detecting Multiple Change Points: The PULSE Criterion5 cited