Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics

Zhanshou Chen, Qiongyao Xu and Huini Li

Economics Letters, 2019, vol. 179, issue C, 53-56

Abstract: This paper proposes a rank likelihood ratio scan method for estimating multiple change points in piecewise heavy-tailed time series. It can effectively improve the estimate accuracy and solve the problem that the likelihood ratio scan method overestimates the change points in such a time series. A simulation and analyses of two sets of real data illustrate the efficiency of the method.

Keywords: Change point; Rank likelihood ratio; Heavy-tailed time series (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:179:y:2019:i:c:p:53-56

DOI: 10.1016/j.econlet.2019.03.017

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