Structural breaks in time series
From MaRDI portal
Publication:2852477
DOI10.1111/j.1467-9892.2012.00819.xzbMath1274.62553MaRDI QIDQ2852477
Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00819.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
Related Items
Structural break detection in financial durations, Unnamed Item, Unsupervised Self-Normalized Change-Point Testing for Time Series, Segmented Model Selection in Quantile Regression Using the Minimum Description Length Principle, Some asymptotic results for the integrated empirical process with applications to statistical tests, A new approach for open‐end sequential change point monitoring, Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions, Test for parameter change in the presence of outliers: the density power divergence-based approach, Testing and dating structural changes in copula-based dependence measures, Test of parameter changes in a class of observation-driven models for count time series, Rank-based multiple change-point detection, Testing for structural changes in linear regressions with time-varying variance, Ratio detection for mean change in α mixing observations, Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models, Consistent selection of the number of change-points via sample-splitting, On optimal multiple changepoint algorithms for large data, The multiple filter test for change point detection in time series, Exact Spike Train Inference Via $\ell_0$ Optimization, Testing for jumps in the presence of smooth changes in trends of nonstationary time series, Empirical likelihood for break detection in time series, Two tests for sequential detection of a change-point in a nonlinear model, Structural changes in autoregressive models for binary time series, Trimmed stable AR(1) processes, Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points, A linear regression model with persistent level shifts: an alternative to infill asymptotics, Nonparametric tests for constant tail dependence with an application to energy and finance, An introduction to functional data analysis and a principal component approach for testing the equality of mean curves, A modified Wilcoxon test for change points in long-range dependent time series, Asymptotics of an empirical bridge of regression on induced order statistics, Threshold models in time series analysis -- some reflections, Time series regression with persistent level shifts, Uniform change point tests in high dimension, Panel data segmentation under finite time horizon, Improving the finite sample performance of tests for a shift in mean, Inference for post-change parameters after sequential CUSUM test under AR(1) model, Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes, Change-point detection in high-dimensional covariance structure, High dimensional efficiency with applications to change point tests, Gradient-based structural change detection for nonstationary time series M-estimation, Parameter change tests for ARMA-GARCH models, Optimal change point detection in Gaussian processes, Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels, Dating multiple change points in the correlation matrix, Detecting structural breaks in realized volatility, A tail adaptive approach for change point detection, A semiparametric maximum likelihood ratio test for the change point in copula models, Relevant change points in high dimensional time series, Darling-Erdős limit results for change-point detection in panel data, Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search, Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points, Robust test for dispersion parameter change in discretely observed diffusion processes, Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic, Sequential change point test in the presence of outliers: the density power divergence based approach, Adaptive quantile computation for Brownian bridge in change-point analysis, Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators, Anomaly detection: a functional analysis perspective, Limit results for \(L^p\) functionals of weighted CUSUM processes, Robust inference for change points in high dimension, Time series analysis of COVID-19 infection curve: a change-point perspective, Asymptotic properties of semiparametric \(M\)-estimators with multiple change points, A comparison of single and multiple changepoint techniques for time series data, Inference for change points in high-dimensional data via selfnormalization, Empirical likelihood for change point detection in autoregressive models, Recent progress in parameter change test for integer-valued time series models, Detecting and modeling changes in a time series of proportions, Change point analysis on the Corinth Gulf (Greece) seismicity, Monitoring mean and variance change-points in long-memory time series, Estimating a gradual parameter change in an AR(1)-process, Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification, Functional data analysis in the Banach space of continuous functions, Bump detection in the presence of dependency: does it ease or does it load?, Multiple change point detection and validation in autoregressive time series data, Distinguishing between breaks in the mean and breaks in persistence under long memory, Testing for stationarity of functional time series in the frequency domain, A distribution free test for changes in the trend function of locally stationary processes, Strong approximations for the \(p\)-fold integrated empirical process with applications to statistical tests, Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach, Sequential monitoring for changes from stationarity to mild non-stationarity, Multiple changepoint detection with partial information on changepoint times, On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process, Dependence measures for model selection in singular spectrum analysis, Reaction times of monitoring schemes for ARMA time series, A computationally efficient nonparametric approach for changepoint detection, Detecting breaks in the dependence of multivariate extreme-value distributions, The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points, Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics, Quasi-maximum likelihood estimation for multiple volatility shifts, Extensions of some classical methods in change point analysis, A quasi-Bayesian change point detection with exchangeable weights, Multiscale change point detection via gradual bandwidth adjustment in moving sum processes, Testing for cointegration with threshold adjustment in the presence of structural breaks, Multiple structural breaks in cointegrating regressions: a model selection approach, Identifying Different Areas of Inhomogenous Mineral Subsoil: Spatial Fluctuation Approaches, Detection of Changes in INAR Models, Inference for single and multiple change-points in time series, Parameter Change Test for Poisson Autoregressive Models, ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES, Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models, ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS, Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series, Unnamed Item, Adaptive Change Point Monitoring for High-Dimensional Data, Testing for shifts in mean with monotonic power against multiple structural changes, Sequential change point detection in ARMA-GARCH models, Multiple change-points detection in high dimension, A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters, Testing for parameter constancy in the time series direction in panel data models, Page's sequential procedure for change-point detection in time series regression, A strong convergence rate of estimator of variance change in linear processes and its applications, Detecting at‐Most‐m Changes in Linear Regression Models, A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN, Some Nonparametric Tests for Change-Point Detection Based on the ℙ-ℙ and ℚ-ℚ Plot Processes, Structural breaks in panel data: Large number of panels and short length time series, Model-free classification of panel data via the ϵ-complexity theory, On optimal segmentation and parameter tuning for multiple change-point detection and inference, Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices, Asynchronous changepoint estimation for spatially correlated functional time series, Stationary subspace analysis based on second-order statistics, Testing for changes in linear models using weighted residuals, Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form, Mini-workshop: Mathematical foundations of robust and generalizable learning. Abstracts from the mini-workshop held October 2--8, 2022, Data-driven selection of the number of change-points via error rate control, Adaptive Inference for Change Points in High-Dimensional Data, Loss function-based change point detection in risk measures, BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA, A weighted U-statistic based change point test for multivariate time series, Functional Estimation and Change Detection for Nonstationary Time Series, Robust multiscale estimation of time-average variance for time series segmentation
Cites Work
- Changepoints in the North Atlantic Tropical Cyclone Record
- Nonparametric Sequential Change-Point Detection by a Vertically Trimmed Box Method
- ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
- Estimating and Testing Structural Changes in Multivariate Regressions
- Mean shift testing in correlated data
- A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
- Structural Break Estimation for Nonstationary Time Series Models
- CONTINUOUS INSPECTION SCHEMES
- An estimator of the number of change points based on a weak invariance principle
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A simple test of changes in mean in the possible presence of long-range dependence
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Modelling structural breaks, long memory and stock market volatility: an overview
- Testing for structural change in regression with long memory processes
- Finite sample multivariate structural change tests with application to energy demand models
- Testing for a change in persistence in the presence of non-stationary volatility
- Tests for changing mean with monotonic power
- Delay times of sequential procedures for multiple time series regression models
- Inference for functional data with applications
- On image segmentation using information theoretic criteria
- Segmenting mean-nonstationary time series via trending regressions
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The maximum likelihood method for testing changes in the parameters of normal observations
- Robust methods for detecting multiple level breaks in autocorrelated time series
- Model selection criteria in multivariate models with multiple structural changes
- A limit theorem for the maximum of normalized sums of independent random variables
- Strong approximation for the sums of squares of augmented GARCH sequences
- On the detection of changes in autoregressive time series. I: Asymptotics.
- The functional central limit theorem for a family of GARCH observations with applications
- Weakly dependent functional data
- An MDL approach to the climate segmentation problem
- Monitoring parameter change in AR\((p)\) time series models
- Testing for changes in polynomial regression
- Extreme value theory for stochastic integrals of Legendre polynomials
- Truncated sequential change-point detection based on renewal counting processes. II
- Testing for changes in the covariance structure of linear processes
- Monitoring shifts in mean: asymptotic normality of stopping times
- Estimation of a change-point in the mean function of functional data
- Break detection in the covariance structure of multivariate time series models
- Testing the stability of the functional autoregressive process
- On the residuals of autoregressive processes and polynomial regression
- Nonparametric change-point estimation
- Estimating the number of change-points via Schwarz' criterion
- Consistency of an estimator of the number of changes in binomial observations
- Estimating the dimension of a model
- The Darling-Erdős theorem for sums of i.i.d. random variables
- Testing for changes in multivariate dependent observations with an application to temperature changes
- Likelihood ratio tests for multiple structural changes
- Estimation and comparison of multiple change-point models
- An application of the maximum likelihood test to the change-point problem
- Predictive tests for structural change with unknown breakpoint
- Strong rules for detecting the number of breaks in a time series
- Change-point estimation in ARCH models
- Testing for structural change in conditional models
- The multiple change-points problem for the spectral distribution
- Delay time in sequential detection of change
- Generalized autoregressive conditional heteroscedasticity
- Unit root tests with a break in innovation variance.
- Rescaled variance and related tests for long memory in volatility and levels
- Monitoring changes in linear models
- Testing for a change in the parameter values and order of an autoregressive model
- Testing for structural change in a long-memory environment
- On the rate of approximations for maximum likelihood tests in change-point models
- Long-memory property of nonlinear transformations of break processes
- Bootstrapping sequential change-point tests for linear regression
- The effect of serial correlation on tests for parameter change at unknown time
- Convergence in distribution of multiple change point estimators
- Strong invariance principles for dependent random variables
- Functional data analysis.
- On discriminating between long-range dependence and changes in mean
- Weak dependence. With examples and applications.
- MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
- MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY
- TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
- SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
- Statistical tests for a single change in mean against long-range dependence
- The Hurst effect under trends
- A Test Against Spurious Long Memory
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- A test for a change in a parameter occurring at an unknown point
- Change‐point monitoring in linear models
- Asymptotic distributions of maximum likelihood tests for change in the mean
- Bootstrapping Sequential Change-Point Tests
- ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
- ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
- Structural Breaks in Financial Time Series
- Testing and estimating change-points in time series
- Fractional differencing
- Detection of a “Disorder” in a Wiener Process
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- On the rate of convergence of normal extremes
- Long-Term Memory in Stock Market Prices
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- Automatic Statistical Analysis of Bivariate Nonstationary Time Series
- Truncated Sequential Change‐point Detection based on Renewal Counting Processes
- Estimating and Testing Linear Models with Multiple Structural Changes
- Testing for long memory in the presence of a general trend
- Time-Dependent Spectral Analysis of Nonstationary Time Series
- A Bayesian Analysis for Change Point Problems
- The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
- MOSUM tests for parameter constancy
- The generalized fluctuation test: A unifying view
- Monitoring Structural Change
- Estimating a change point in the long memory parameter
- Testing for Change Points in Time Series