Monitoring procedure for parameter change in causal time series

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

zbMATH Keywords

weak convergencechange-pointsquasi-maximum likelihood estimatorssequential change detectioncausal processes

Mathematics Subject Classification ID

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

• basta

Cites Work

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• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
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