Consistent nonparametric change point detection combining CUSUM and marked empirical processes (Q2188476)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Consistent nonparametric change point detection combining CUSUM and marked empirical processes |
scientific article |
Statements
Consistent nonparametric change point detection combining CUSUM and marked empirical processes (English)
0 references
11 June 2020
0 references
The paper puts forward a modified CUSUM type test approach with a sequential marked empirical process for a weakly dependent time series regression model with multivariate covariates and univariate observations, in order to check the stability in time of the nonparametric conditional mean function against change point alternatives. The model is quite general, with few constraints. A bootstrap version is also presented in case of unstable variance.
0 references
bootstrap
0 references
change point detection
0 references
cumulative sums
0 references
distribution-free test
0 references
heteroscedasticity
0 references
kernel estimation
0 references
nonparametric regression
0 references
sequential empirical process
0 references
0 references
0 references
0 references