Change-point problems in nonlinear regression estimation with dependent observations

DOI10.1016/J.NA.2009.04.016MaRDI QIDQ425785zbMATH OpenOpenAlexFDO

Authors Ken-ichi Yoshihara, Shuya Kanagawa

Publication date 9 June 2012

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2009.04.016

zbMATH Keywords

mathematical financestochastic differential equationsstrong mixingtime series analysis

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Change-Point Estimation as a Nonlinear Regression Problem
• Change-points in nonparametric regression analysis
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• The change-point problem for dependent observations
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Cites work

• Central Limit Theorems for dependent variables. I
• Change point estimation by local linear smoothing

Cited in

(7)

• Change point estimation for a weakly dependent sequence
• The change-point problem for dependent observations
• Change point detection for nonparametric regression under strongly mixing process
• Wavelet-Based Quantile Density Function Estimation Under Random Censorship
• On MISE of a non linear wavelet estimator of the regression function based on biased data under strong mixing
• Wavelet-based estimation of regression function for dependent biased data under a given random design
• On estimation of the change points in multivariate regression models with structural changes

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