Detecting early or late changes in linear models with heteroscedastic errors

DOI10.1111/SJOS.12507MaRDI QIDQ5001016zbMATH OpenOpenAlexFDO

Authors Lajos Horváth, Curtis Miller, Gregory Rice

Publication date 16 July 2021

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12507

zbMATH Keywords

linear modelchange pointWiener processheteroscedastic dataRényi statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Change‐point monitoring in linear models
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Cited in

(5)

• Detecting structural change with heteroskedasticity
• Simultaneous model change detection in multivariate linear regression with application to Indonesian economic growth data
• Limit results for L^p functionals of weighted CUSUM processes
• Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules
• Sequential monitoring for changes in GARCH(1,1) models without assuming stationarity

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