Fourier methods for sequential change point analysis in autoregressive models

DOI10.1007/978-3-7908-2604-3_50MaRDI QIDQ3298505zbMATH OpenOpenAlexFDO

Authors Marie Hušková, Claudia Kirch, Simos G. Meintanis

Publication date 14 July 2020

Published in Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2604-3_50

zbMATH Keywords

change point analysisempirical characteristic function

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• An angular approach for linear data
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• Change-Point Analysis Based on Empirical Characteristic Functions of Ranks
• Computation of Certain Minimum Distance Estimators in AR[k] Model
• Empirical likelihood based hypothesis testing
• Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
• scientific article; zbMATH DE number 3833123 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Monitoring Distributional Changes in Autoregressive Models
• Monitoring parameter change in AR\((p)\) time series models
• On the asymptotic behavior of a class of nonparametric tests for a change-point problem
• On the detection of changes in autoregressive time series. I: Asymptotics.
• On the detection of changes in autoregressive time series. II: Resampling procedures
• Testing for change points in time series models and limiting theorems for NED sequences
• Testing for distributional change in time series
• The robust estimation of autoregressive processes by functional least squares
• Weak convergence of the sequential empirical processes of residuals in ARMA models

Cited in

(8)

• Monitoring changes in the error distribution of autoregressive models based on Fourier methods
• Fourier-type monitoring procedures for strict stationarity
• Bootstrap procedures for online monitoring of changes in autoregressive models
• Monitoring distributional changes in autoregressive models based on a weighted empirical process of residuals
• Detecting Change Points by Fourier Analysis
• scientific article; zbMATH DE number 868175 (Why is no real title available?)
• Performance evaluation of some methods for off-line detection of changes in autoregressive signals
• A Note on Online Change Point Detection

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