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http://hdl.handle.net/10419/37121
  
Title:Mean shift detection under long-range dependencies with ART PDF Logo
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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