Mean Shift detection under long-range dependencieswith ART

Atheoretical regression trees (ART) are applied to detect changes in the mean of a stationarylong memory time series when location and number are unknown. It is shownthat the BIC, which is almost always used as a pruning method, does not operate well inthe long memory framework.[...]

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Year of publication:	2010-02-01
Authors:	Willert, Juliane
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Monte-Carlo-Simulation \| Änderung \| Zeitreihe \| Gedächtnis

Table of Contents
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1 Introduction
2 Atheoretical regression trees
3 Monte Carlo study
4 Application on inflation rates
5 Conclusion
References

Persistent link: https://www.econbiz.de/10005870769