Darling-Erdős limit results for change-point detection in panel data

DOI10.1016/j.jspi.2012.11.004zbMath1259.62074OpenAlexW2057396531MaRDI QIDQ1937207

Julian Chan, Lajos Horváth, Marie Hušková

Publication date: 28 February 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.11.004

zbMATH Keywords

weak convergencelinear processeschange in the meanCUSUM process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items

Isolating changed panels and estimating common change point after sequential detection with FDR control, Inference for change points in high-dimensional data via selfnormalization, High dimensional efficiency with applications to change point tests, An evaluation of some methods used for determination of homogenous structural break point in mean of panel data, Cumulative sum estimator for change-point in panel data, Adaptive Inference for Change Points in High-Dimensional Data, Changepoint in dependent and non-stationary panels, Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models, Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points, ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS, A semiparametric maximum likelihood ratio test for the change point in copula models, Strong approximations for the \(p\)-fold integrated empirical process with applications to statistical tests, Extensions of some classical methods in change point analysis, Testing structural changes in panel data with small fixed panel size and bootstrap, Testing for parameter constancy in the time series direction in panel data models, Some asymptotic results for the integrated empirical process with applications to statistical tests, Some Nonparametric Tests for Change-Point Detection Based on the ℙ-ℙ and ℚ-ℚ Plot Processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Common breaks in means and variances for panel data
• Testing for a unit root in a random coefficient panel data model
• Moment and probability bounds with quasi-superadditive structure for the maximum partial sum
• Asymptotics for linear processes
• Maximum likelihood estimation in the multi-path change-point problem
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Structural breaks in time series
• Estimation in multi-path change-point problems
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
• [https://portal.mardi4nfdi.de/wiki/Publication:4092722 Inequalities for max | S k | /b k where k � N r]
• Change‐point detection in panel data