Multiple breaks detection in general causal time series using penalized quasi-likelihood

DOI10.1214/12-EJS680zbMATH Open1337.62210OpenAlexW2904240262MaRDI QIDQ1950823FDOQ1950823

Jean-Marc Bardet, William Charky Kengne, Olivier Wintenberger

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1332162336

zbMATH Keywords

change detectionquasi-maximum likelihood estimatorAR(\(\infty\)) processesARCH(\(\infty\)) processescausal processesmodel selection by penalized likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Slope heuristics: overview and implementation
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Estimating the number of change-points via Schwarz' criterion
• Least-squares estimation of an unknown number of shifts in a time series
• Estimating and Testing Linear Models with Multiple Structural Changes
• Testing for a change in the parameter values and order of an autoregressive model
• A test for a change in a parameter occurring at an unknown point
• GARCH processes: structure and estimation
• Change-point estimation in ARCH models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Inference about the change-point in a sequence of random variables
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• Break Detection for a Class of Nonlinear Time Series Models
• Weakly dependent chains with infinite memory
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• An Inequality and Almost Sure Convergence
• The multiple change-points problem for the spectral distribution

Cited In (20)

• Two tests for sequential detection of a change-point in a nonlinear model
• Data-driven semi-parametric detection of multiple changes in long-range dependent processes
• Piecewise autoregression for general integer-valued time series
• Contrast estimation of time-varying infinite memory processes
• A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection
• On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
• Consistent model selection criteria and goodness-of-fit test for common time series models
• Inference for single and multiple change-points in time series
• Strongly consistent model selection for general causal time series
• On consistency for time series model selection
• Classification in postural style based on stochastic process modeling
• Testing for parameter constancy in general causal time-series models
• Epidemic change-point detection in general causal time series
• Monitoring procedure for parameter change in causal time series
• Inference and model selection in general causal time series with exogenous covariates
• A Kernel Multiple Change-point Algorithm via Model Selection
• Inference and testing for structural change in general Poisson autoregressive models
• Detection of Multiple Structural Breaks in Multivariate Time Series
• Autocovariance Estimation in Regression with a Discontinuous Signal and m‐Dependent Errors: A Difference‐Based Approach
• Break detection in the covariance structure of multivariate time series models

Uses Software

• CAPUSHE

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