Change point analysis based on empirical characteristic functions

DOI10.1007/s00184-005-0008-9zbMath1141.62317OpenAlexW1574326631MaRDI QIDQ2499565

Simos G. Meintanis, Marie Hušková

Publication date: 14 August 2006

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-005-0008-9

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Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Characteristic functions; other transforms (60E10) Functional limit theorems; invariance principles (60F17)

Related Items (22)

Fourier methods for analyzing piecewise constant volatilities ⋮ A comparison of single and multiple changepoint techniques for time series data ⋮ Unnamed Item ⋮ Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application ⋮ Nonparametric probability weighted empirical characteristic function and applications ⋮ Tests for the multivariatek-sample problem based on the empirical characteristic function ⋮ ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH ⋮ Monitoring changes in the error distribution of autoregressive models based on Fourier methods ⋮ 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 ⋮ A characterization and a class of omnibus tests for the exponential distribution based on the empirical characteristic function ⋮ Fourier Methods for Sequential Change Point Analysis in Autoregressive Models ⋮ An empirical-characteristic-function-based change-point test for detection of multiple distributional changes ⋮ On nonparametric change point estimator based on empirical characteristic functions ⋮ Tests for generalized exponential laws based on the empirical Mellin transform ⋮ High dimensional change point inference: recent developments and extensions ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series ⋮ Change-Point Analysis Based on Empirical Characteristic Functions of Ranks ⋮ Comments on: ``Extensions of some classical methods in change point analysis ⋮ Comments on: ``Extensions of some classical methods in change point analysis

Cites Work

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