Bootstrap testing for discontinuities under long-range dependence

JOURNAL OF MULTIVARIATE ANALYSIS

卷:105

Article

Beran, Jan¹  Shumeyko, Yevgen¹ 

[1] Univ Konstanz, Dept Math & Stat, Constance, Germany

关键词: Long-range dependence;    Bootstrap;    Nonparametric regression;    Wavelet;    Thresholding;    Test for discontinuity;   

DOI  :  10.1016/j.jmva.2011.10.003

来源: Elsevier

【 摘 要 】

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. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

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