Monitoring procedure for parameter change in causal time series

DOI10.1016/J.JMVA.2013.12.004zbMath1280.62103arXiv1209.4746OpenAlexW2083244850MaRDI QIDQ2637611

Jean-Marc Bardet, William Charky Kengne

Publication date: 13 February 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.4746

zbMATH Keywords

weak convergencechange-pointsquasi-maximum likelihood estimatorssequential change detectioncausal processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Sequential statistical analysis (62L10) Sequential estimation (62L12)

Related Items (7)

Poisson QMLE for change-point detection in general integer-valued time series models ⋮ On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations ⋮ Strongly consistent model selection for general causal time series ⋮ Sequential change point detection in ARMA-GARCH models ⋮ A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Inference for nonstationary time series of counts with application to change-point problems

Uses Software

• basta

Cites Work

• Unnamed Item
• Unnamed Item
• Monitoring parameter change in time series models
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Weakly dependent chains with infinite memory
• Break detection in the covariance structure of multivariate time series models
• Change in autoregressive processes
• Testing for parameter changes in ARCH models
• Monitoring changes in linear models
• Bootstrapping sequential change-point tests for linear regression
• Multiple breaks detection in general causal time series using penalized quasi-likelihood
• MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
• Testing for parameter constancy in general causal time-series models
• A Martingale Inequality and the Law of Large Numbers
• Change‐point monitoring in linear models
• Bootstrapping Sequential Change-Point Tests
• Break Detection for a Class of Nonlinear Time Series Models
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Monitoring Structural Change
• Delay time in monitoring jump changes in linear models
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Multiple-Change-Point Detection for Auto-Regressive Conditional Heteroscedastic Processes

This page was built for publication: Monitoring procedure for parameter change in causal time series