Robust CUSUM-M test in the presence of long-memory disturbances

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DC Field	Value	Language
dc.contributor.author	Sibbertsen, Philipp	de
dc.date.accessioned	2004-12-06T18:42:16Z	-
dc.date.available	2004-12-06T18:42:16Z	-
dc.date.issued	2000	de
dc.identifier.uri	http://hdl.handle.net/2003/5024	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-5525	-
dc.description.abstract	We derive the limiting null distribution of the robust CUSUM-M test and the recursive CUSUM-M test for structural change of the coefficients of a linear regression model with long-memory disturbances. It turns out that the asymptotic null distribution of the CUSUM-M statistic is a fractional Brownian Bridge and the asymptotic null distribution of the recursive CUSUM-M statistic is fractional Brownian motion.	en
dc.format.extent	171874 bytes	-
dc.format.extent	387977 bytes	-
dc.format.mimetype	application/pdf	-
dc.format.mimetype	application/postscript	-
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	CUSUM test	en
dc.subject	long range dependence	en
dc.subject	robust regression	en
dc.subject.ddc	310	de
dc.title	Robust CUSUM-M test in the presence of long-memory disturbances	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 475

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