LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
From MaRDI portal
Recommendations
- Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions
- Change point estimation of the variance of linear processes
- Estimation of a change in linear models
- scientific article; zbMATH DE number 3980231
- Least-squares estimation of an unknown number of shifts in a time series
Cites work
- A new look at the statistical model identification
- Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
- Crossing probabilities for a square root boundary by a bessel process
- Cube root asymptotics
- Generalization of an inequality of Kolmogorov
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Inference about the change-point in a sequence of binomial variables
- Likelihood Ratio Tests for a Change in the Multivariate Normal Mean
- Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
- On tests for detecting change in mean
- Some Multivariate Chebyshev Inequalities with Extensions to Continuous Parameter Processes
- Some One-Sided Tests for Change in Level
- Testing a Sequence of Observations for a Shift in Location
Cited in
(only showing first 100 items - show all)- An efficient algorithm for estimating a change-point
- Subsampling tests for the mean change point with heavy-tailed innovations
- The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson process
- Tests for a mean shift with good size and monotonic power
- Detection of multiple changes in a sequence of dependent variables
- Estimation of multiple-regime regressions with least absolutes deviation
- Change-point in the mean of dependent observations
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- The effect of long-range dependence on change-point estimators
- Effect of dependence on statistics for determination of change
- Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
- Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null
- Testing for common breaks in a multiple equations system
- New distribution theory for the estimation of structural break point in mean
- Long memory versus structural breaks: an overview
- Unit root tests with a break in innovation variance.
- Testing for stationarity with a break
- Detection of structural breaks in linear dynamic panel data models
- Change-point estimation of nonstationary I(d) processes
- Nonparametric inference on structural breaks
- Estimation of a level shift in panel data with fractionally integrated errors
- A two-stage estimator for change point in the mean of panel data
- Optimal change-point estimation in time series
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- Detection of multiple change points for linear processes under negatively super-additive dependence
- The CUSUM statistic of change point under NA sequences
- Time series analysis of COVID-19 infection curve: a change-point perspective
- Inference on a structural break in trend with mildly integrated errors
- Estimating a gradual parameter change in an AR(1)-process
- On change-point estimation under Sobolev sparsity
- Estimating change points in nonparametric time series regression models
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- Inference on the change point under a high dimensional sparse mean shift
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- A robust test for mean change in dependent observations
- On partial-sum processes of ARMAX residuals
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- Confidence sets for the date of a break in level and trend when the order of integration is unknown
- Methods of analyzing nonstationary time series with implicit changes in their properties
- Covariance changes detection in multivariate time series
- Pre and post break parameter inference
- On discriminating between long-range dependence and changes in mean
- Rate of convergence for multiple change-points estimation of moving-average processes
- Inference for mean change-point in infinite variance \(AR(p)\) process
- Nonparametric estimation of structural change points in volatility models for time series
- Structural breaks with deterministic and stochastic trends
- -estimators of regression models with structural change of unknown location
- Least-squares estimation of an unknown number of shifts in a time series
- Estimation of change-points in linear and nonlinear time series models
- A statistical test of change-point in mean that almost surely has zero error probabilities
- Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
- Inference on a structural break in trend with fractionally integrated errors
- Maximum likelihood estimation for the drift parameter in diffusion processes
- Inference for single and multiple change-points in time series
- Exact distribution of argmax (argmin)
- Confidence sets for the date of a single break in linear time series regressions
- Break point estimators for a slope shift: levels versus first differences
- Adaptive estimation of autoregressive models with time-varying variances
- Statistical tests for a single change in mean against long-range dependence
- Testing for parameter stability in nonlinear autoregressive models
- A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis
- Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model
- Detection and estimation of structural change in heavy-tailed sequence
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- Testing for a shift in trend at an unknown date: a fixed-b analysis of heteroskedasticity autocorrelation robust OLS-based tests
- Least-squares change-point estimation for the telegraph process observed at discrete times
- Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
- Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
- Bootstrapping confidence intervals for the change-point of time series
- ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
- Testing for a unit root in the presence of a possible break in trend
- When bubbles burst: econometric tests based on structural breaks
- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
- Truncating estimation for the change in stochastic trend with heavy-tailed innovations
- Block bootstrap consistency under weak assumptions
- Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence
- Level changes in volatility models
- Modified tests for change points in variance in the possible presence of mean breaks
- On LM-type tests for seasonal unit roots in the presence of a break in trend
- Sensor fault detection and isolation: a game theoretic approach
- Bootstrap confidence intervals for a break date in linear regressions
- The asymptotic distribution of CUSUM estimator based on α-mixing sequences
- Distributed estimation and its fast algorithm for change-point in location models*
- Identification and estimation of a large factor model with structural instability
- Common breaks in means for panel data under short-range dependence
- Empirical likelihood approach for change-point estimation based on residuals in piecewise linear models
- Asymptotic distribution theory for break point estimators in models estimated via 2SLS
- Unit roots, level shifts, and trend breaks in per capita output: a robust evaluation
- Ratio detections for change point in heavy tailed observations
- Spurious regression between long memory series due to mis-specified structural breaks
- The CUSUM statistics of change-point models based on dependent sequences
- A segmented regime-switching model with its application to stock market indices
- A Bayesian multiple structural change regression model with autocorrelated errors
- Bootstrap procedures for variance breaks test in time series with a changing trend
- Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations
- A robust test for autocorrelation in the presence of a structural break in variance
- A self-normalized semi-parametric test to detect changes in the long memory parameter
- Inference regarding multiple structural changes in linear models with endogenous regressors
- Estimation and inference in unstable nonlinear least squares models
This page was built for publication: LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4319842)
