Estimation of change-points in linear and nonlinear time series models
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Cites work
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A Mathematical Theory of the Incidence of Taxation
- A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
- Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
- Asymptotic efficient estimation of the change point with unknown distributions
- Averaging estimators for regressions with a possible structural break
- Break detection in the covariance structure of multivariate time series models
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating and Testing Structural Changes in Multivariate Regressions
- Inference about the change-point in a sequence of binomial variables
- Inference about the change-point in a sequence of random variables
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Structural Break Estimation for Nonstationary Time Series Models
- Structural change in AR(1) models
- Testing For and Dating Common Breaks in Multivariate Time Series
- Testing and estimating change-points in time series
- Testing for a change in the parameter values and order of an autoregressive model
- Testing for change points in time series
- Testing for change points in time series models and limiting theorems for NED sequences
- Testing for structural breaks in dynamic factor models
- Testing for structural stability in the whole sample
- Testing structural change in partially linear models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- The asymptotic behavior of some nonparametric change-point estimators
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- The maximum likelihood method for testing changes in the parameters of normal observations
Cited in
(17)- Estimation in a change-point non linear quantile model
- Change point detection in INAR( p ) models via likelihood ratio scanning method
- BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES
- Change point estimation in regression model with response missing at random
- Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
- Location and scale-based CUSUM test with application to autoregressive models
- scientific article; zbMATH DE number 2051038 (Why is no real title available?)
- scientific article; zbMATH DE number 1925813 (Why is no real title available?)
- Change-point analysis in nonstationary stochastic models
- Estimators for the Time of Change in Linear Models
- Real-time detection of a change-point in a linear expectile model
- Optimal change-point estimation in time series
- Inferences for the Linear Errors-in-Variables With Changepoint Mode
- Estimation of structural changes in nonlinear time series models by using particle filters and genetic programming
- Change Point Estimation of Multivariate Linear Profiles Under Linear Drift
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- The asymptotic behaviour of the residual sum of squares in models with multiple break points
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