This article reviews some recent developments on the inference of time series data using the
self-normalized approach. We aim to provide a detailed discussion about the use of self …

Discussion: Bootstrap methods for dependent data: A review Page 1 Journal of the Korean
Statistical Society 40 (2011) 383–386 Contents lists available at SciVerse ScienceDirect …

A family of self-normalized CUSUM tests for structural change under long memory is
proposed. The test statistics apply non-parametric kernel-based long-run variance …

It is well known that standard tests for a mean shift are invalid in long-range dependent time
series. Therefore, several long-memory robust extensions of standard testing principles for a …

We consider inference for the mean of a general stationary process based on standardizing
the sample mean by a frequency domain estimator of the long run variance. Here, the main …

In this paper, we propose a test for a break in the level of a fractionally integrated process
when the timing of the putative break is not known. This testing problem has received …

This paper studies taper-based estimates of the spectral density utilizing a fixed bandwidth
ratio asymptotic framework, and makes several theoretical contributions:(i) we treat multiple …

This article extends the popular Diebold–Mariano test for equal predictive accuracy to
situations when the forecast error loss differential exhibits long memory. This situation can …

We consider the problem of estimating the variance of the partial sums of a stationary time
series that has either long memory, short memory, negative/intermediate memory, or is the …

We analyse inflation and inflation differentials in the euro area allowing for long memory and
a new type of limiting theory denoted fixed-bandwidth. Our results differ from those based on …