On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation

Author:

Baek Changryong,Pipiras Vladas

Publisher

Institute of Mathematical Statistics

Subject

Statistics and Probability,Statistics, Probability and Uncertainty

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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