Bootstrap testing multiple changes in persistence for a heavy-tailed sequence

来源 :The Third IMS-China International Conference on Statistics a | 被引量 : 0次 | 上传用户：woshichuanqi007

【摘要】

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【作者】

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Zhanshou Chen Zi Jin Zheng Tian Peiyan Qi

【机构】

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Department of Applied Mathematics, Northwestern Polytechnical University,Xi 'an, Shaanxi 710072, P.

【出处】

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The Third IMS-China International Conference on Statistics a

【发表日期】

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2011年3期

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　　There is a growing body of evidence showing that economic and financial time series display changes in persisteuce.This has been an issue of substantial empirical int crest, especially concerning inflation rate series, short-term interest rates, government budget deficits and real output.Guillaume et al.(1997) have argued that many types of data from economics and finance have the same character: a heavier tail than the normal variables.

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Bootstrap testing multiple changes in persistence for a heavy-tailed sequence

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