Sequential change point detection in linear quantile regression models

DOI10.1016/j.spl.2015.01.031zbMath1396.62086MaRDI QIDQ2348323

Huixia Judy Wang, Yanlin Tang, Mi Zhou

Publication date: 11 June 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.01.031

zbMATH Keywords

quantile regression; linear regression; structural change; sequential testing; change point detection

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62J05: Linear regression; mixed models

62L10: Sequential statistical analysis

Related Items

Monitoring sequential structural changes in penalized high-dimensional linear models, Estimation in quantile regression models with jump discontinuities, Monitoring parameter change for time series models with application to location-Scale heteroscedastic models, A consistent nonparametric test for the structure change in quantile regression, Sequential change point detection for high‐dimensional data using nonconvex penalized quantile regression, Real-time change point detection in linear models using the ranking selection procedure, Dimension reduction techniques for conditional expectiles, Test for conditional quantile change in general conditional heteroscedastic time series models, Test by adaptive Lasso quantile method for real-time detection of a change-point, Test for conditional quantile change in GARCH models, Real-time detection of a change-point in a linear expectile model, Real time change-point detection in a nonlinear quantile model

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