Mean shift testing in correlated data

DOI10.1111/J.1467-9892.2010.00707.XzbMath1294.62212OpenAlexW1578984877MaRDI QIDQ5495695

Michael Robbins, Alexander Aue, Colin M. Gallagher, Robert B. Lund

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00707.x

zbMATH Keywords

changepointslikelihood ratioBrownian bridgeCUSUMARMA series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (25)

On optimal segmentation and parameter tuning for multiple change-point detection and inference ⋮ A New Approach to ANOVA Methods for Autocorrelated Data ⋮ A comparison of single and multiple changepoint techniques for time series data ⋮ Empirical likelihood for change point detection in autoregressive models ⋮ Detecting and modeling changes in a time series of proportions ⋮ A robust bootstrap change point test for high-dimensional location parameter ⋮ Detection of multiple undocumented change-points using adaptive Lasso ⋮ High dimensional efficiency with applications to change point tests ⋮ Parameter change tests for ARMA-GARCH models ⋮ Testing for parameter constancy in general causal time-series models ⋮ ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES ⋮ On empirical likelihood inference of a change-point ⋮ Empirical likelihood for break detection in time series ⋮ Sequential change point detection in ARMA-GARCH models ⋮ BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA ⋮ Inference for post-change parameters after sequential CUSUM test under AR(1) model ⋮ Structural break detection in financial durations ⋮ Detecting structural breaks in realized volatility ⋮ Tail-greedy bottom-up data decompositions and fast multiple change-point detection ⋮ On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation ⋮ Robust test for structural instability in dynamic factor models ⋮ Structural breaks in time series ⋮ Reaction times of monitoring schemes for ARMA time series ⋮ A Cheap Trick to Improve the Power of a Conservative Hypothesis Test ⋮ Autocovariance estimation in the presence of changepoints

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