Break Detection for a Class of Nonlinear Time Series Models

DOI10.1111/j.1467-9892.2008.00585.xzbMath1199.62006MaRDI QIDQ3552855

Gabriel A. Rodriguez-Yam, Richard A. Davis, Thomas C. M. Lee

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00585.x

zbMATH Keywords

model selection; genetic algorithm; state-space models; non-stationary time series; stochastic volatility models; minimum description length principle; multiple change points; generalized autoregressive conditionally heteroscedastic processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

90C59: Approximation methods and heuristics in mathematical programming

Related Items

Thinning-based models in the analysis of integer-valued time series: a review, Time-varying multi-regime models fitting by genetic algorithms, Метод обнаружения структурного сдвига в модели авторегрессионной условной гетероскедастичности: случай распределения Стьюдента, BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES, Structural changes estimation for strongly dependent processes, Piecewise FARIMA models for long-memory time series, Heteroscedasticity and Autocorrelation Robust Structural Change Detection, A GENERAL CLASS OF CUSUM STATISTICS, On consistency of minimum description length model selection for piecewise autoregressions, Bayesian multiple structural change-points estimation in time series models with genetic algorithm, Time-threshold maps: using information from wavelet reconstructions with all threshold values simultaneously, Piecewise autoregression for general integer-valued time series, Break detection in the covariance structure of multivariate time series models, Using the minimum description length to discover the intrinsic cardinality and dimensionality of time series, Multiple breaks detection in general causal time series using penalized quasi-likelihood, Consistency of minimum description length model selection for piecewise stationary time series models, Generalized threshold latent variable model, Dynamic networks with multi-scale temporal structure, Parametric methodologies for detecting changes in maximum temperature of Tlaxco, Tlaxcala, México, Parsimonious periodic autoregressive models for time series with evolving trend and seasonality, Multiple changepoint detection with partial information on changepoint times, Quasi-maximum likelihood estimation for multiple volatility shifts, Extensions of some classical methods in change point analysis, Monitoring procedure for parameter change in causal time series, Inference for single and multiple change-points in time series, Periodic autoregressive model identification using genetic algorithms, Thick Pen Transformation for Time Series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Genetic algorithms and their statistical applications: an introduction
• Estimating the number of change-points via Schwarz' criterion
• A procedure for the modeling of non-stationary time series
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• The use of approximating models in Monte Carlo maximum likelihood estimation.
• Generalized autoregressive conditional heteroscedasticity
• Testing for a change in the parameter values and order of an autoregressive model
• Estimating the number of change points in a sequence of independent normal random variables
• Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
• Subset ARMA Model Identification Using Genetic Algorithms
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• Testing and estimating change-points in time series
• A regression model for time series of counts
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Model Selection and the Principle of Minimum Description Length
• Estimating and Testing Linear Models with Multiple Structural Changes
• Signal Extraction Problems in Seismology
• An Introduction to Coding Theory and the Two-Part Minimum Description Length Principle
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Exact Bayesian curve fitting and signal segmentation
• Structural Break Estimation for Nonstationary Time Series Models