10 citations · 11 across the 7 of their papers we have counts for
7 papers · 1 filter
Higher-order approximation for uncertainty quantification in time series analysis
Annika Betken, Marie-Christine Düker
For time series with high temporal correlation, the empirical process converges rather slowly to its limiting distribution. Many statistics in change-point analysis, goodness-of-fi…
Change-point tests for the tail parameter of Long Memory Stochastic Volatility time series
Annika Betken, Davide Giraudo, Rafał Kulik
We consider a change-point test based on the Hill estimator to test for structural changes in the tail index of Long Memory Stochastic Volatility time series. In order to determine…
Rank-based change-point analysis for long-range dependent time series
Annika Betken, Martin Wendler
We consider change-point tests based on rank statistics to test for structural changes in long-range dependent observations. Under the hypothesis of stationary time series and unde…
Testing for Change in Stochastic Volatility with Long Range Dependence
Annika Betken, Rafał Kulik
In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discuss…
Change point estimation based on Wilcoxon tests in the presence of long-range dependence
Annika Betken
We consider an estimator for the location of a shift in the mean of long-range dependent sequences. The estimation is based on the two-sample Wilcoxon statistic. Consistency and th…
Subsampling for General Statistics under Long Range Dependence with application to change point analysis
Annika Betken, Martin Wendler
In the statistical inference for long range dependent time series the shape of the limit distribution typically depends on unknown parameters. Therefore, we propose to use subsampl…
Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
Annika Betken
We propose a testing procedure based on the Wilcoxon two-sample test statistic in order to test for change-points in the mean of long-range dependent data. We show that the corresp…