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Bootstrap testing for discontinuities under Long-range dependence

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2012

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http://nbn-resolving.de/urn:nbn:de:bsz:352-232408
DOI (zitierfähiger Link)
https://doi.org/10.1016/j.jmva.2011.10.003
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Journal of Multivariate Analysis. 2012, 105(1), pp. 322-347. ISSN 0047-259X. Available under: doi: 10.1016/j.jmva.2011.10.003

Zusammenfassung

We consider testing for discontinuities in a trend function when the residual process exhibits long memory. Using a wavelet decomposition of the estimated trend function into a low-resolution and a high-resolution component, a test statistic is proposed based on blockwise resampling of estimated residual variances. Asymptotic validity of the test is derived. A simulation study illustrates finite sample properties.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Long-range dependence, Bootstrap, Nonparametric regression, Wavelet, Thresholding, Test for discontinuity

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ISO 690BERAN, Jan, Yevgen SHUMEYKO, 2012. Bootstrap testing for discontinuities under Long-range dependence. In: Journal of Multivariate Analysis. 2012, 105(1), pp. 322-347. ISSN 0047-259X. Available under: doi: 10.1016/j.jmva.2011.10.003
BibTex
@article{Beran2012Boots-23240,
  year={2012},
  doi={10.1016/j.jmva.2011.10.003},
  title={Bootstrap testing for discontinuities under Long-range dependence},
  number={1},
  volume={105},
  issn={0047-259X},
  journal={Journal of Multivariate Analysis},
  pages={322--347},
  author={Beran, Jan and Shumeyko, Yevgen}
}
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