Monitoring change in persistence in linear time series
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References listed on IDEAS
- Steland, Ansgar, 2007. "Monitoring Procedures To Detect Unit Roots And Stationarity," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1108-1135, December.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chen, Zhanshou & Jin, Zi & Tian, Zheng & Qi, Peiyan, 2012. "Bootstrap testing multiple changes in persistence for a heavy-tailed sequence," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2303-2316.
More about this item
KeywordsChange in persistence Monitoring Average run length Variance shift;
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