Optimal change-point estimation in time series

DOI10.1214/20-AOS2039MaRDI QIDQ2054501zbMATHOpenAlexFDO

Authors Ngai Hang Chan, Wai Leong Ng, Chun Yip Yau, Haihan Yu

Publication date 3 December 2021

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/annals-of-statistics/volume-49/issue-4/Optimal-change-point-estimation-in-time-series/10.1214/20-AOS2039.full

zbMATH Keywords

confidence intervalstructural breakBayes-type estimatorpiecewise stationary time seriesdouble-sided random process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) (L^p)-limit theorems (60F25)

Recommendations

• scientific article; zbMATH DE number 2051038
• scientific article; zbMATH DE number 1925813
• Estimation of change-points in linear and nonlinear time series models
• Change-point estimation: Linear statistics and asymptotic Bayes risk
• scientific article; zbMATH DE number 4119412

Cites work

• scientific article; zbMATH DE number 1487659 (Why is no real title available?)
• A MOSUM procedure for the estimation of multiple random change points
• Asymptotic efficient estimation of the change point with unknown distributions
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Asymptotically Optimal Solutions in the Change-Point Problem
• Bayesian like R- and M- estimators of change points
• Bayesian-type estimators of change points
• Bootstrap in moving average models
• Bootstrapping confidence intervals for the change-point of time series
• Circular binary segmentation for the analysis of array-based DNA copy number data
• Complete convergence for \(\alpha{}\)-mixing sequences
• Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
• Estimation of change-points in linear and nonlinear time series models
• GARCH processes: structure and estimation
• Inference for multiple change points in time series via likelihood ratio scan statistics
• Kalman Filtering with Random Coefficients and Contractions
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Limit theory and bootstrap for explosive and partially explosive autoregression
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Mixing properties of ARMA processes
• Mixing: Properties and examples
• Multiscale change point inference. With discussion and authors' reply
• Nonlinear system theory: Another look at dependence
• On asymptotic properties of bootstrap for AR(1) processes
• On parameter estimation of threshold autoregressive models
• On the invertibility of time series models
• Residual-based GARCH bootstrap and second order asymptotic refinement
• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• Strong invariance principles for dependent random variables
• Structural Break Estimation for Nonstationary Time Series Models
• Testing for a change in the parameter values and order of an autoregressive model
• Testing for change points in time series
• Testing for change points in time series models and limiting theorems for NED sequences
• The asymptotic behavior of some nonparametric change-point estimators
• Weakly dependent chains with infinite memory

Cited in

(5)

• scientific article; zbMATH DE number 1925813 (Why is no real title available?)
• Estimation of a change-point in the mean function of functional data
• OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS
• Exact Decoding of a Sequentially Markov Coalescent Model in Genetics
• Estimation of change-points in linear and nonlinear time series models

This page was built for publication: Optimal change-point estimation in time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2054501)