Bootstrap procedures for online monitoring of changes in autoregressive models
From MaRDI portal
Recommendations
- Monitoring changes in the error distribution of autoregressive models based on Fourier methods
- On the detection of changes in autoregressive time series. II: Resampling procedures
- Monitoring Distributional Changes in Autoregressive Models
- Fourier methods for sequential change point analysis in autoregressive models
- Monitoring distributional changes in autoregressive models based on a weighted empirical process of residuals
Cites work
- A note on monitoring time-varying parameters in an autoregression
- Autoregression with non-Gaussian innovations
- Bootstrapping Sequential Change-Point Tests
- Bootstrapping sequential change-point tests for linear regression
- Characteristic function-based hypothesis tests under weak dependence
- Degenerate U- and V-statistics under weak dependence: asymptotic theory and bootstrap consistency
- Efficiencies of tests and estimators for p-order autoregressive processes when the error distribution is nonnormal
- Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
- Goodness-of-fit testing under long memory
- Goodness-of-fit tests for long memory moving average marginal density
- Monitoring changes in the error distribution of autoregressive models based on Fourier methods
- Monitoring Distributional Changes in Autoregressive Models
- Monitoring parameter change in AR\((p)\) time series models
- Monitoring parameter changes for random coefficient autoregressive models
- Monitoring the parameter changes in general ARIMA time series models
- New goodness-of-fit tests for the error distribution of autoregressive time-series models
- Normality testing for a long-memory sequence using the empirical moment generating function
- On the detection of changes in autoregressive time series. I: Asymptotics.
- On the detection of changes in autoregressive time series. II: Resampling procedures
- On the Performance of the Fluctuation Test for Structural Change
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- The Cusum Test for Parameter Change in Time Series Models
- The robust estimation of autoregressive processes by functional least squares
- Time series models in non-normal situation: symmetric innovations
Cited in
(15)- Moving block bootstrapping for a CUSUM test for correlation change
- Bootstrapping sequential change-point tests for linear regression
- Monitoring changes in the error distribution of autoregressive models based on Fourier methods
- Monitoring procedures for strict stationarity based on the multivariate characteristic function
- Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points
- Monitoring parameter change in linear regression model based on the efficient score vector
- On the detection of changes in autoregressive time series. II: Resampling procedures
- Fourier methods for sequential change point analysis in autoregressive models
- Monitoring distributional changes in autoregressive models based on a weighted empirical process of residuals
- Monitoring Distributional Changes in Autoregressive Models
- Change Point Detection with Multivariate Observations Based on Characteristic Functions
- Change detection in INARCH time series of counts
- Comments on: ``Extensions of some classical methods in change point analysis
- A data-driven approach to detecting change points in linear regression models
- A Note on Online Change Point Detection
This page was built for publication: Bootstrap procedures for online monitoring of changes in autoregressive models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2821014)
