Bootstrapping Sequential Change-Point Tests

DOI10.1080/07474940802241082zbMath1145.62060OpenAlexW2108416674MaRDI QIDQ3527720

Claudia Kirch

Publication date: 30 September 2008

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474940802241082

zbMATH Keywords

consistencycritical valuesresampling methodsmean changestudentizing

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Sequential statistical analysis (62L10)

Related Items (21)

Change Detection in INARCH Time Series of Counts ⋮ A comparison of single and multiple changepoint techniques for time series data ⋮ Monitoring procedure for parameter change in causal time series ⋮ Sequential change point detection in high dimensional time series ⋮ 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 ⋮ Bootstrapping sequential change-point tests for linear regression ⋮ A note on Studentized confidence intervals for the change-point ⋮ Monitoring changes in the error distribution of autoregressive models based on Fourier methods ⋮ Change-point methods for multivariate time-series: paired vectorial observations ⋮ Fourier Methods for Sequential Change Point Analysis in Autoregressive Models ⋮ Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method ⋮ Modified sequential change point procedures based on estimating functions ⋮ A Note on Online Change Point Detection ⋮ Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models ⋮ Structural breaks in time series ⋮ Guaranteed Conditional Performance of Control Charts via Bootstrap Methods ⋮ Reaction times of monitoring schemes for ARMA time series ⋮ 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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• Approximations to permutation and exchangeable processes
• Permutation, parametric and bootstrap tests of hypotheses.
• Monitoring changes in linear models
• Block permutation principles for the change analysis of dependent data
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
• Resampling in the frequency domain of time series to determine critical values for change-point tests
• Permutation tests in change point analysis

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