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http://hdl.handle.net/10419/37121
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| Title: | | Mean shift detection under long-range dependencies with ART  |
| Authors: | | Willert, Juliane |
| Issue Date: | | 2010 |
| Series/Report no.: | | Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät // Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 437 |
| Abstract: | | Atheoretical regression trees (ART) are applied to detect changes in the mean of a stationary long memory time series when location and number are unknown. It is shown that the BIC, which is almost always used as a pruning method, does not operate well in the long memory framework. A new method is developed to determine the number of mean shifts. A Monte Carlo Study and an application is given to show the performance of the method. |
| Subjects: | | long memory mean shift regression tree ART BIC |
| JEL: | | C14 C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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