Monitoring procedure for parameter change in causal time series
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Publication:2637611
DOI10.1016/j.jmva.2013.12.004zbMath1280.62103arXiv1209.4746OpenAlexW2083244850MaRDI QIDQ2637611
Jean-Marc Bardet, William Charky Kengne
Publication date: 13 February 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.4746
weak convergencechange-pointsquasi-maximum likelihood estimatorssequential change detectioncausal processes
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Related Items (7)
Poisson QMLE for change-point detection in general integer-valued time series models ⋮ On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations ⋮ Strongly consistent model selection for general causal time series ⋮ Sequential change point detection in ARMA-GARCH models ⋮ A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Inference for nonstationary time series of counts with application to change-point problems
Uses Software
Cites Work
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