Autocovariance Estimation in Regression with a Discontinuous Signal and <i>m</i>‐Dependent Errors: A Difference‐Based Approach (Q5738832): Difference between revisions

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scientific article; zbMATH DE number 6729629

Language	Label	Description	Also known as
English	Autocovariance Estimation in Regression with a Discontinuous Signal and <i>m</i>‐Dependent Errors: A Difference‐Based Approach	scientific article; zbMATH DE number 6729629

Statements

instance of

scholarly article

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title

Autocovariance Estimation in Regression with a Discontinuous Signal and <i>m</i>‐Dependent Errors: A Difference‐Based Approach (English)

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author

Inder Tecuapetla-Gómez

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Axel Munk

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published in

Scandinavian Journal of Statistics

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publication date

13 June 2017

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full work available at URL

https://arxiv.org/abs/1507.02485

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zbMATH Keywords

autocovariance estimation

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change-point

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convex projection

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covariance matrix estimation

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difference-based methods

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discontinuous signal

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\(m\)-dependent processes

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mean squared error

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non-parametric regression

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describes a project that uses

stepR

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R

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MaRDI profile type

MaRDI publication profile

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cites work

Multiple breaks detection in general causal time series using penalized quasi-likelihood

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Q3739782

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Q3136820

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Variance estimation in nonparametric regression via the difference sequence method

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Difference-based variance estimation in nonparametric regression with repeated measurement data

0 references

Structural Break Estimation for Nonstationary Time Series Models

0 references

Estimating the Variance In Nonparametric Regression—What is a Reasonable Choice?

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The asymptotic behavior of some nonparametric change-point estimators

0 references

An Algorithm for Restricted Least Squares Regression

0 references

Residual variance and residual pattern in nonlinear regression

0 references

Asymptotically optimal difference-based estimation of variance in nonparametric regression

0 references

Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors

0 references

Multiple Change-Point Estimation With a Total Variation Penalty

0 references

Choice of bandwidth for kernel regression when residuals are correlated

0 references

Computing the nearest correlation matrix--a problem from finance

0 references

On the detection of changes in autoregressive time series. I: Asymptotics.

0 references

Inference for single and multiple change-points in time series

0 references

Q4363939

0 references

Optimal Detection of Changepoints With a Linear Computational Cost

0 references

Least‐squares Estimation of an Unknown Number of Shifts in a Time Series

0 references

FDR-control in multiscale change-point segmentation

0 references

Q5566063

0 references

Estimation of heteroscedasticity in regression analysis

0 references

Detecting Dependencies in Smooth Regression Models

0 references

On Difference-Based Variance Estimation in Nonparametric Regression When the Covariate is High Dimensional

0 references

Circular binary segmentation for the analysis of array-based DNA copy number data

0 references

Nonparametric regression with correlated errors.

0 references

CONTINUOUS INSPECTION SCHEMES

0 references

A test for a change in a parameter occurring at an unknown point

0 references

A Simple Estimator of Error Correlation in Non-parametric Regression Models

0 references

Testing and estimating change-points in time series

0 references

Detection of Multiple Structural Breaks in Multivariate Time Series

0 references

Bandwidth choice for nonparametric regression

0 references

Change-Points: From Sequential Detection to Biology and Back

0 references

Variance estimation for high-dimensional regression models

0 references

Multiscale local change point detection with applications to value-at-risk

0 references

Optimal variance estimation without estimating the mean function

0 references

Non-parametric Curve Estimation by Wavelet Thresholding with Locally Stationary Errors

0 references

Identifiers

zbMATH Open document ID

1422.62154

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DOI

10.1111/sjos.12256

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5738832

@@ Property / arXiv ID @@
+.02485
@@ Property / arXiv ID: 1507.02485 / rank @@
+Normal rank
@@ Property / cites work @@
+Multiple breaks detection in general causal time series using penalized quasi-likelihood
+Normal rank
@@ Property / cites work @@
+Q3739782
@@ Property / cites work: Q3739782 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3136820
@@ Property / cites work: Q3136820 / rank @@
+Normal rank
@@ Property / cites work @@
+Variance estimation in nonparametric regression via the difference sequence method
+Normal rank
@@ Property / cites work @@
+Difference-based variance estimation in nonparametric regression with repeated measurement data
+Normal rank
@@ Property / cites work @@
+Structural Break Estimation for Nonstationary Time Series Models
+Normal rank
@@ Property / cites work @@
+Estimating the Variance In Nonparametric Regression—What is a Reasonable Choice?
+Normal rank
@@ Property / cites work @@
+The asymptotic behavior of some nonparametric change-point estimators
+Normal rank
@@ Property / cites work @@
+An Algorithm for Restricted Least Squares Regression
+Normal rank
@@ Property / cites work @@
+Residual variance and residual pattern in nonlinear regression
+Normal rank
@@ Property / cites work @@
+Asymptotically optimal difference-based estimation of variance in nonparametric regression
+Normal rank
@@ Property / cites work @@
+Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
+Normal rank
@@ Property / cites work @@
+Multiple Change-Point Estimation With a Total Variation Penalty
+Normal rank
@@ Property / cites work @@
+Choice of bandwidth for kernel regression when residuals are correlated
+Normal rank
@@ Property / cites work @@
+Computing the nearest correlation matrix--a problem from finance
+Normal rank
@@ Property / cites work @@
+On the detection of changes in autoregressive time series. I: Asymptotics.
+Normal rank
@@ Property / cites work @@
+Inference for single and multiple change-points in time series
+Normal rank
@@ Property / cites work @@
+Q4363939
@@ Property / cites work: Q4363939 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Detection of Changepoints With a Linear Computational Cost
+Normal rank
@@ Property / cites work @@
+Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
+Normal rank
@@ Property / cites work @@
+FDR-control in multiscale change-point segmentation
+Normal rank
@@ Property / cites work @@
+Q5566063
@@ Property / cites work: Q5566063 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of heteroscedasticity in regression analysis
+Normal rank
@@ Property / cites work @@
+Detecting Dependencies in Smooth Regression Models
+Normal rank
@@ Property / cites work @@
+On Difference-Based Variance Estimation in Nonparametric Regression When the Covariate is High Dimensional
+Normal rank
@@ Property / cites work @@
+Circular binary segmentation for the analysis of array-based DNA copy number data
+Normal rank
@@ Property / cites work @@
+Nonparametric regression with correlated errors.
@@ Property / cites work: Nonparametric regression with correlated errors. / rank @@
+Normal rank
@@ Property / cites work @@
+CONTINUOUS INSPECTION SCHEMES
@@ Property / cites work: CONTINUOUS INSPECTION SCHEMES / rank @@
+Normal rank
@@ Property / cites work @@
+A test for a change in a parameter occurring at an unknown point
+Normal rank
@@ Property / cites work @@
+A Simple Estimator of Error Correlation in Non-parametric Regression Models
+Normal rank
@@ Property / cites work @@
+Testing and estimating change-points in time series
+Normal rank
@@ Property / cites work @@
+Detection of Multiple Structural Breaks in Multivariate Time Series
+Normal rank
@@ Property / cites work @@
+Bandwidth choice for nonparametric regression
@@ Property / cites work: Bandwidth choice for nonparametric regression / rank @@
+Normal rank
@@ Property / cites work @@
+Change-Points: From Sequential Detection to Biology and Back
+Normal rank
@@ Property / cites work @@
+Variance estimation for high-dimensional regression models
+Normal rank
@@ Property / cites work @@
+Multiscale local change point detection with applications to value-at-risk
+Normal rank
@@ Property / cites work @@
+Optimal variance estimation without estimating the mean function
+Normal rank
@@ Property / cites work @@
+Non-parametric Curve Estimation by Wavelet Thresholding with Locally Stationary Errors
+Normal rank