Subsampling change-point detection in persistence with heavy-tailed innovations

• Published in: Journal of applied mathematics & computing Vol. 23; no. 1-2; pp. 57 - 71
• Main Authors: Han, Sier, Tian, Zheng
• Format: Journal Article
• Language: English
• Published: Dordrecht Springer Nature B.V 01.01.2007
• Subjects: Asymptotic properties; Attraction; Computer simulation; Econometrics; Estimates; Mathematical analysis; Samples; Statistical analysis; Statistics; Studies
• ISSN: 1598-5865; 1865-2085
• DOI: 10.1007/BF02831958

This paper considers how to detect structure change in persistence fromI(1) toI(0) with innovations in the domain of attraction of a κ-stable law. We derive the asymptotic distribution of test statistic and find that the asymptotic distribution of test statistics depends on the stable index κ which...