Structural breaks in time series (Q2852477)

From MaRDI portal

Revision as of 23:07, 6 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Structural breaks in time series	scientific article

Statements

scholarly article

0 references

Structural breaks in time series (English)

0 references

zbMATH Open document ID

0 references

10.1111/j.1467-9892.2012.00819.x

0 references

0 references

0 references

Journal of Time Series Analysis

0 references

publication date

9 October 2013

0 references

Mathematics Subject Classification ID

0 references

0 references

zbMATH DE Number

0 references

zbMATH Keywords

change points

0 references

CUSUM

0 references

long memory

0 references

mean change

0 references

unit root

0 references

variance change

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1111/j.1467-9892.2012.00819.x

0 references

0 references

Time-Dependent Spectral Analysis of Nonstationary Time Series

0 references

Strong rules for detecting the number of breaks in a time series

0 references

Structural Breaks in Financial Time Series

0 references

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

0 references

Tests for Parameter Instability and Structural Change With Unknown Change Point

0 references

Strong approximation for the sums of squares of augmented GARCH sequences

0 references

Estimation of a change-point in the mean function of functional data

0 references

SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

0 references

Break detection in the covariance structure of multivariate time series models

0 references

Delay time in sequential detection of change

0 references

Extreme value theory for stochastic integrals of Legendre polynomials

0 references

Segmenting mean-nonstationary time series via trending regressions

0 references

Change‐point monitoring in linear models

0 references

Testing for changes in polynomial regression

0 references

ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES

0 references

Monitoring shifts in mean: asymptotic normality of stopping times

0 references

Delay times of sequential procedures for multiple time series regression models

0 references

On image segmentation using information theoretic criteria

0 references

Statistical tests for a single change in mean against long-range dependence

0 references

ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS

0 references

Likelihood ratio tests for multiple structural changes

0 references

Estimating and Testing Linear Models with Multiple Structural Changes

0 references

Modelling structural breaks, long memory and stock market volatility: an overview

0 references

A Bayesian Analysis for Change Point Problems

0 references

Testing for changes in the covariance structure of linear processes

0 references

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

0 references

The functional central limit theorem for a family of GARCH observations with applications

0 references

On discriminating between long-range dependence and changes in mean

0 references

Finite sample multivariate structural change tests with application to energy demand models

0 references

The Hurst effect under trends

0 references

Generalized autoregressive conditional heteroscedasticity

0 references

0 references

0 references

Nonparametric change-point estimation

0 references

Testing for a change in persistence in the presence of non-stationary volatility

0 references

Estimation and comparison of multiple change-point models

0 references

MOSUM tests for parameter constancy

0 references

Monitoring Structural Change

0 references

0 references

A limit theorem for the maximum of normalized sums of independent random variables

0 references

Testing for a change in the parameter values and order of an autoregressive model

0 references

Structural Break Estimation for Nonstationary Time Series Models

0 references

Weak dependence. With examples and applications.

0 references

Convergence in distribution of multiple change point estimators

0 references

The Darling-Erdős theorem for sums of i.i.d. random variables

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

Predictive tests for structural change with unknown breakpoint

0 references

Testing for long memory in the presence of a general trend

0 references

Rescaled variance and related tests for long memory in volatility and levels

0 references

Asymptotic distributions of maximum likelihood tests for change in the mean

0 references

An application of the maximum likelihood test to the change-point problem

0 references

On the rate of approximations for maximum likelihood tests in change-point models

0 references

Monitoring parameter change in AR\((p)\) time series models

0 references

0 references

AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

0 references

Truncated Sequential Change‐point Detection based on Renewal Counting Processes

0 references

Truncated sequential change-point detection based on renewal counting processes. II

0 references

On the rate of convergence of normal extremes

0 references

Testing for structural change in conditional models

0 references

SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

0 references

Robust methods for detecting multiple level breaks in autocorrelated time series

0 references

Testing for structural change in a long-memory environment

0 references

Weakly dependent functional data

0 references

The maximum likelihood method for testing changes in the parameters of normal observations

0 references

Testing the stability of the functional autoregressive process

0 references

Monitoring changes in linear models

0 references

Inference for functional data with applications

0 references

Testing for changes in multivariate dependent observations with an application to temperature changes

0 references

Fractional differencing

0 references

Bootstrapping sequential change-point tests for linear regression

0 references

On the detection of changes in autoregressive time series. I: Asymptotics.

0 references

Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

0 references

Tests for changing mean with monotonic power

0 references

Unit root tests with a break in innovation variance.

0 references

Bootstrapping Sequential Change-Point Tests

0 references

Change-point estimation in ARCH models

0 references

The generalized fluctuation test: A unifying view

0 references

An estimator of the number of change points based on a weak invariance principle

0 references

On the residuals of autoregressive processes and polynomial regression

0 references

Model selection criteria in multivariate models with multiple structural changes

0 references

Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

0 references

The multiple change-points problem for the spectral distribution

0 references

Testing for structural change in regression with long memory processes

0 references

The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes

0 references

MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST

0 references

ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

0 references

Long-Term Memory in Stock Market Prices

0 references

An MDL approach to the climate segmentation problem

0 references

Automatic Statistical Analysis of Bivariate Nonstationary Time Series

0 references

CONTINUOUS INSPECTION SCHEMES

0 references

A test for a change in a parameter occurring at an unknown point

0 references

Nonparametric Sequential Change-Point Detection by a Vertically Trimmed Box Method

0 references

Testing and estimating change-points in time series

0 references

A Test Against Spurious Long Memory

0 references

Estimating and Testing Structural Changes in Multivariate Regressions

0 references

Functional data analysis.

0 references

Mean shift testing in correlated data

0 references

Changepoints in the North Atlantic Tropical Cyclone Record

0 references

Estimating the dimension of a model

0 references

Consistency of an estimator of the number of changes in binomial observations

0 references

A simple test of changes in mean in the possible presence of long-range dependence

0 references

Testing for Change Points in Time Series

0 references

MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY

0 references

The effect of serial correlation on tests for parameter change at unknown time

0 references

Detection of a “Disorder” in a Wiener Process

0 references

TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD

0 references

Strong invariance principles for dependent random variables

0 references

Estimating a change point in the long memory parameter

0 references

Estimating the number of change-points via Schwarz' criterion

0 references

Long-memory property of nonlinear transformations of break processes

0 references

High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications

0 references

A Unified Approach to Structural Change Tests Based on ML Scores,<i>F</i>Statistics, and OLS Residuals

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2852477

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2852477&oldid=35354821"