On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
Author:
Publisher
Institute of Mathematical Statistics
Subject
Statistics and Probability,Statistics, Probability and Uncertainty
Link
http://projecteuclid.org/download/pdfview_1/euclid.ejs/1406638930
Cited by 12 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Local Whittle estimation of high-dimensional long-run variance and precision matrices;The Annals of Statistics;2023-12-01
2. Robust test for structural instability in dynamic factor models;Annals of the Institute of Statistical Mathematics;2021-01-02
3. Sparse vector heterogeneous autoregressive modeling for realized volatility;Journal of the Korean Statistical Society;2020-10-07
4. Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification;Computational Statistics & Data Analysis;2020-10
5. Estimation of long memory parameter in nonparametric regression;Communications for Statistical Applications and Methods;2019-11-30
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