Bootstrap testing for discontinuities under Long-range dependence


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BERAN, Jan, Yevgen SHUMEYKO, 2012. Bootstrap testing for discontinuities under Long-range dependence. In: Journal of Multivariate Analysis. 105(1), pp. 322-347. ISSN 0047-259X

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

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:rights rdf:resource=""/> <dc:language>eng</dc:language> <dc:creator>Shumeyko, Yevgen</dc:creator> <dc:rights>deposit-license</dc:rights> <dcterms:bibliographicCitation>Journal of Multivariate Analysis ; 105 (2012), 1. - S. 322-347</dcterms:bibliographicCitation> <dc:contributor>Shumeyko, Yevgen</dc:contributor> <dcterms:issued>2012</dcterms:issued> <dc:creator>Beran, Jan</dc:creator> <dc:contributor>Beran, Jan</dc:contributor> <dc:date rdf:datatype="">2013-05-15T07:38:03Z</dc:date> <dcterms:available rdf:datatype="">2013-05-15T07:38:03Z</dcterms:available> <dcterms:title>Bootstrap testing for discontinuities under Long-range dependence</dcterms:title> <bibo:uri rdf:resource=""/> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> </rdf:Description> </rdf:RDF>

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