Change point detection in vector autoregression.

DOI10.14736/KYB-2018-6-1122MaRDI QIDQ3120380zbMATH OpenOpenAlexFDO

Authors Zuzana Prášková

Publication date 1 March 2019

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/147600

zbMATH Keywords

change pointquasi-maximum likelihoodvector autoregression

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(10)

• Change points detection and parameter estimation for multivariate time series
• Real-time detection of a change-point in a linear expectile model
• Monitoring changes in RCA models
• Monitoring change in the mean vector of multivariate normal distribution
• Sequential Detection of Change-Points in Linear Models
• scientific article; zbMATH DE number 58691 (Why is no real title available?)
• Monitoring parameter change point in AR (p) model based on the Range test
• On testing changes in autoregressive parameters of a VAR model
• A partial review on testing for change points in autoregressive time series models
• A note on monitoring time-varying parameters in an autoregression

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