Testing for a break in persistence under long-range dependencies and mean shifts
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00362-010-0342-5.pdf
Reference7 articles.
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3. Kim J (2000) Detection of change in persistence of a linear time series. J Econom 95: 97–116
4. Leybourne S, Taylor R, Kim T (2007) CUSUM of squares-based tests for a change in persistence. J Time Ser Anal 28: 408–433
5. R Development Core Team (2008) R: a language and environment for statistical computing. http://www.r-project.org
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