Monitoring procedure for parameter change in causal time series

DOI10.1016/j.jmva.2013.12.004zbMath1280.62103arXiv1209.4746MaRDI 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 convergence; change-points; quasi-maximum likelihood estimators; sequential change detection; causal processes

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

62L10: Sequential statistical analysis

62L12: Sequential estimation

Related Items

Sequential change point detection in ARMA-GARCH models, 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, 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

Uses Software

• basta

Cites Work

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