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Bootstrap 1 Long-range dependence 1 Nonparametric regression 1 Test for discontinuity 1 Thresholding 1 Wavelet 1
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Beran, Jan 1 Shumeyko, Yevgen 1
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Journal of Multivariate Analysis 1
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Bootstrap testing for discontinuities under long-range dependence
Beran, Jan; Shumeyko, Yevgen - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 322-347
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...
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