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

DOI10.1016/J.JSPI.2006.02.010zbMath1107.62090OpenAlexW2065153035MaRDI QIDQ872083

Zuzana Prášková, Josef G. Steinebach, Marie Hušková

Publication date: 27 March 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.02.010

zbMATH Keywords

time serieschange point analysisextreme value asymptotics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric tests (62F05)

Related Items (48)

Delay times of sequential procedures for multiple time series regression models ⋮ Delay time in monitoring jump changes in linear models ⋮ SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Testing for parameter stability in nonlinear autoregressive models ⋮ Testing for parameter constancy in general causal time-series models ⋮ Approximation of quasiperiodic signal phase trajectory using directional regression ⋮ On residual CUSUM statistic for PINAR(1) model in statistical design and diagnostic of control chart ⋮ A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis ⋮ Retrospective change detection for binary time series models ⋮ Structural changes in autoregressive models for binary time series ⋮ A Bayesian detection of structural changes in autoregressive time series models ⋮ Testing for changes in linear models using weighted residuals ⋮ Inference for post-change parameters after sequential CUSUM test under AR(1) model ⋮ Strong approximations and sequential change-point analysis for diffusion processes ⋮ Monitoring changes in the error distribution of autoregressive models based on Fourier methods ⋮ A Bayesian analysis of a change in the parameters of autoregressive time series ⋮ Multiple change point detection and validation in autoregressive time series data ⋮ Testing for structural stability in the whole sample ⋮ Monitoring distributional changes of squared residuals in GARCH models ⋮ Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models ⋮ Estimating nonlinear regression with and without change-points by the LAD method ⋮ \(M\)-procedures for detection of a change under weak dependence ⋮ Fourier Methods for Sequential Change Point Analysis in Autoregressive Models ⋮ Changepoints in times series of counts ⋮ Optimal Detection of Changepoints With a Linear Computational Cost ⋮ A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics ⋮ Unnamed Item ⋮ Detecting Markov random fields hidden in white noise ⋮ A surveillance procedure for random walks based on local linear estimation ⋮ On the detection of changes in autoregressive time series. II: Resampling procedures ⋮ Asymptotic distribution of the jump change-point estimator ⋮ Autocovariance Estimation in Regression with a Discontinuous Signal and m‐Dependent Errors: A Difference‐Based Approach ⋮ On Testing Changes in Autoregressive Parameters of a VAR Model ⋮ Change Detection in INAR(p) Processes Against Various Alternative Hypotheses ⋮ Extensions of some classical methods in change point analysis ⋮ Monitoring parameter change in AR\((p)\) time series models ⋮ A Statistical Test of Change-Point in Mean that Almost Surely Has Zero Error Probabilities ⋮ Testing for changes in the covariance structure of linear processes ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models ⋮ A new approach for open‐end sequential change point monitoring ⋮ Testing the stability of the functional autoregressive process ⋮ Structural breaks in time series ⋮ Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration ⋮ Structural Change Monitoring for Random Coefficient Autoregressive Time Series ⋮ Page's sequential procedure for change-point detection in time series regression ⋮ Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach ⋮ Synthetic detection of change point and outliers in bilinear time series models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The maximum likelihood method for testing changes in the parameters of normal observations
• On the residuals of autoregressive processes and polynomial regression
• Time series: theory and methods.
• Change in autoregressive processes
• Change-point in the mean of dependent observations
• Change-point estimation in ARCH models
• Testing for a change in the parameter values and order of an autoregressive model
• On the detection of changes in autoregressive time series. II: Resampling procedures
• A Martingale Inequality and the Law of Large Numbers
• ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS

This page was built for publication: On the detection of changes in autoregressive time series. I: Asymptotics.