Open AccessApplication of Rank Likelihood Ratio Scanning Method in Multiple Mean Changes in Long Memory Time Series with Heavy Tail
Author(s) -
Qiongyao Xu,
Xi Li
Publication year - 2020
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1673/1/012035
Subject(s) - series (stratigraphy) , rank (graph theory) , statistics , mathematics , combinatorics , biology , paleontology
In this paper, a rank-likelihood ratio scanning method for long memory time series with heavy tail is proposed to solve the problem that when likelihood ratio scanning method is used to estimate the mean change points in the long memory time series with heavy tail, the estimation accuracy decreases rapidly with the decrease of the heavy tail index. Numerical simulation and analysis of real data demonstrate the effectiveness and practicability of the rank-likelihood ratio scanning method.