JSM 2003 Online Program

Abstract #300428

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page

Activity Number:	123
Type:	Contributed
Date/Time:	Monday, August 4, 2003 : 10:30 AM to 12:20 PM
Sponsor:	Business & Economics Statistics Section
Abstract - #300428
Title:	Nonparametric Test for Long Memory against Structural Change
Author(s):	Nan-Jung Hsu*+
Companies:	National Tsing Hua University
Address:	Graduate Institute of Statistics, Taipei, International, 11529, Taiwan
Keywords:	Kolmogorov-Smirnov test ; temporal aggregation
Abstract:	Many studies have found that mean structural change may produce realizations with slowly decaying autocorrelations, which resembles the long-memory phenomenon. In this study, we focus on two classes of models: mean plus noise model and Markov switching model with certain gradually changing mechanisms. By exploring the nonstationary properties of the mechanisms, a nonparametric test is proposed to distinguish these two classes of models from long memory. The test has good performance for finite sample verified by a simulation study. Examples with simulated and real data are presented. (This is a joint work with H.C. Ho.)

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program