Detecting gradual changes in locally stationary processes
From MaRDI portal
Publication:2343960
DOI10.1214/14-AOS1297zbMath1312.62045arXiv1310.4678MaRDI QIDQ2343960
Publication date: 11 May 2015
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.4678
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
Related Items
Monitoring a Poisson process subject to gradual changes in the arrival rates where the arrival rates are unknown, Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables, Monitoring a Poisson process subject to gradual changes in the arrival rates, Asymptotics for change-point models under varying degrees of mis-specification, Continuous-time locally stationary time series models, Functional Estimation and Change Detection for Nonstationary Time Series, Predictive, finite-sample model choice for time series under stationarity and non-stationarity, Testing for jumps in the presence of smooth changes in trends of nonstationary time series, Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes, Consistent change-point detection with kernels, Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators, A new approach for detecting gradual changes in non-stationary time series with seasonal effects, Estimating a gradual parameter change in an AR(1)-process, On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process, Minimum distance estimation of locally stationary moving average processes, Detecting gradual changes in locally stationary processes, Sequential detection of gradual changes in the location of a general stochastic process, Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
Cites Work
- Unnamed Item
- Unnamed Item
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Asymptotics for \(p\)-value based threshold estimation in regression settings
- Estimation of semiparametric locally stationary diffusion models
- Mixing properties of ARCH and time-varying ARCH processes
- Nonparametric regression for locally stationary time series
- Break detection in the covariance structure of multivariate time series models
- Change-points in nonparametric regression analysis
- Testing for changes in multivariate dependent observations with an application to temperature changes
- Gradual changes versus abrupt changes.
- A note on estimating the change-point of a gradually changing stochastic process
- Minimax estimation of sharp change points
- Statistical inference for time-inhomogeneous volatility models.
- Detecting gradual changes in locally stationary processes
- Optimal change-point estimation from indirect observations
- Statistical inference for time-varying ARCH processes
- Threshold estimation based on a p-value framework in dose-response and regression settings
- Ewma control chart under linear drift
- CONTROL CHARTS WITH WARNING LINES
- A Haar–Fisz technique for locally stationary volatility estimation
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- The Performance of Control Charts and Cusums Under Linear Trend
- Localized Realized Volatility Modeling
- Inference about the change-point in a sequence of random variables
- Structural Break Estimation for Nonstationary Time Series Models
- CONTINUOUS INSPECTION SCHEMES
