Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146266 | Journal of Multivariate Analysis | 2012 | 26 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Jan Beran, Yevgen Shumeyko,