Bootstrap testing for discontinuities under long-range dependence |
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Authors: | Jan Beran Yevgen Shumeyko |
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Institution: | Department of Mathematics and Statistics, University of Konstanz, Germany |
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Abstract: | 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. |
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Keywords: | 62G08 62G09 62M10 62M07 |
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