Bootstrap Test for Stationarity of Heavy-Tailed Series with Structural Breaks

作     者：Rui Bing QIN Zheng TIAN 

作者机构：Department of Applied MathematicsNorthwestern Polytechnical UniversityShaanxi 710072P.R.China State Key Laboratory of Remote Sensing ScienceBeijing 100101P.R.China 

出 版 物：《Journal of Mathematical Research and Exposition》 (数学研究与评论（英文版）)

年 卷 期：2010年第30卷第6期

页      面：1015-1022页

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：Supported by the National Natural Science Foundation of China (Grant Nos.10926197 60972150) 

主　　题：κ stable innovations structural breaks stationarity Heavy tails bootstrap. 

摘      要：The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the *** obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the *** simulations demonstrate that the bootstrap test is practical and powerful.