Monitoring changes in the error distribution of autoregressive models based on Fourier methods
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Publication:1946878
DOI10.1007/s11749-011-0265-zzbMath1284.62557OpenAlexW2079782219MaRDI QIDQ1946878
Simos G. Meintanis, Claudia Kirch, Zdeněk Hlávka, Marie Hušková
Publication date: 10 April 2013
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-011-0265-z
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Sequential statistical analysis (62L10)
Related Items (20)
Epidemic change tests for the mean of innovations of an AR(1) process ⋮ Fourier methods for analyzing piecewise constant volatilities ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points ⋮ SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET ⋮ ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH ⋮ Change Point Detection with Multivariate Observations Based on Characteristic Functions ⋮ Change-point methods for multivariate time-series: paired vectorial observations ⋮ Monitoring distributional changes of squared residuals in GARCH models ⋮ Specification testing in nonparametric AR‐ARCH models ⋮ An empirical-characteristic-function-based change-point test for detection of multiple distributional changes ⋮ Testing for serial independence in vector autoregressive models ⋮ Extensions of some classical methods in change point analysis ⋮ Sequential change-point detection in a multinomial logistic regression model ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Fourier–type tests involving martingale difference processes ⋮ Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach ⋮ Comments on: ``Extensions of some classical methods in change point analysis ⋮ Comments on: ``Extensions of some classical methods in change point analysis
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