Sequential monitoring for changes from stationarity to mild non-stationarity

DOI10.1016/j.jeconom.2019.08.010zbMath1456.62192OpenAlexW2977575809WikidataQ127191771 ScholiaQ127191771MaRDI QIDQ2295810

Gregory Rice, Lajos Horváth, Shixuan Wang, Zhen-Ya Liu

Publication date: 17 February 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.08.010

zbMATH Keywords

normal approximationchange point detectionstationarity testingnon-stationary ARMA time seriesnon-stationary GARCH time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET, Loss function-based change point detection in risk measures, Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models, Monitoring procedures for strict stationarity based on the multivariate characteristic function

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