M-procedures for detection of a change under weak dependence

DOI10.1016/J.JSPI.2014.01.006MaRDI QIDQ2448799zbMATH OpenOpenAlexFDO

Authors Zuzana Prášková, Ondřej Chochola

Publication date 5 May 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2014.01.006

zbMATH Keywords

change-point detection\(M\)-estimators\(L_p\)-\(m\)-approximability

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Asymptotic properties of parametric tests (62F05)

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• Robust Statistics
• Robust monitoring of CAPM portfolio betas
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• WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
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Cited in

(6)

• A comparison of single and multiple changepoint techniques for time series data
• Change point estimation by local linear smoothing under a weak dependence condition
• Convergence of \(U\)-processes in Hölder spaces with application to robust detection of a changed segment
• Comments on: ``Extensions of some classical methods in change point analysis
• Gradient-based structural change detection for nonstationary time series M-estimation
• M-procedures for detection of changes for dependent observations

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