MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
From MaRDI portal
Publication:2716473
DOI10.1017/S0266466600166022zbMath0967.62067OpenAlexW1995805330WikidataQ57066514 ScholiaQ57066514MaRDI QIDQ2716473
Kurt Hornik, Friedrich Leisch, Chung-Ming Kuan
Publication date: 2 September 2001
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466600166022
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)
Related Items (38)
Poisson QMLE for change-point detection in general integer-valued time series models ⋮ Monitoring disruptions in financial markets ⋮ Quality control for structural credit risk models ⋮ Delay times of sequential procedures for multiple time series regression models ⋮ Methods of analyzing nonstationary time series with implicit changes in their properties ⋮ Delay time in monitoring jump changes in linear models ⋮ Monitoring procedure for parameter change in causal time series ⋮ SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET ⋮ Learning and forecasts about option returns through the volatility risk premium ⋮ Real-time detection of a change-point in a linear expectile model ⋮ Sequential testing with uniformly distributed size ⋮ Sequential change point detection in ARMA-GARCH models ⋮ BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA ⋮ Monitoring the intraday volatility pattern ⋮ FDR control of detected regions by multiscale matched filtering ⋮ On the Performance of the Fluctuation Test for Structural Change ⋮ On the reaction time of moving sum detectors ⋮ Aspects on the control of false alarms in statistical surveillance and the impact on the return of financial decision systems ⋮ Unnamed Item ⋮ Real time change-point detection in a nonlinear quantile model ⋮ CUSUM Methods for Monitoring Structural Changes in Structural Equations ⋮ A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals ⋮ Extreme value distribution of a recursive-type detector in linear model ⋮ Monitoring parameter change in time series models ⋮ Monitoring parameter changes for random coefficient autoregressive models ⋮ Monitoring parameter changes in RCA(\(p\)) models ⋮ Robust methods for detecting multiple level breaks in autocorrelated time series ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Sequential Monitoring for Changes in Models with a Polynomial Trend ⋮ Monitoring parameter changes in models with a trend ⋮ Sequential Detection of Change-Points in Linear Models ⋮ Monitoring shifts in mean: asymptotic normality of stopping times ⋮ Monitoring Structural Changes in Generalized Linear Models ⋮ Monitoring Distributional Changes in Autoregressive Models ⋮ A new approach for open‐end sequential change point monitoring ⋮ The monitoring test for the stability of regression models with nonstationary regressors ⋮ Inference for nonstationary time series of counts with application to change-point problems ⋮ Structural breaks in time series
Uses Software
This page was built for publication: MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
