Delay times of sequential procedures for multiple time series regression models
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Publication:302113
DOI10.1016/J.JECONOM.2008.12.018zbMATH Open1429.62380OpenAlexW2080284829MaRDI QIDQ302113FDOQ302113
Authors: Alexander Aue, Matthew Reimherr, Lajos Horváth 
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.018
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linear modelschange-point estimationstructural stabilitythreshold functionsequential testsCUSUM statistictime series regressors
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10)
Cites Work
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- Delay time in sequential detection of change
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- Monitoring Structural Change
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- Title not available (Why is that?)
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- Change‐point monitoring in linear models
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- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Selection of estimation window in the presence of breaks
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- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
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Cited In (23)
- Asymptotic distribution of the delay time in Page's sequential procedure
- Two tests for sequential detection of a change-point in a nonlinear model
- Sequentiel testing for the stability of high-frequency portfolio betas
- Delay time in monitoring jump changes in linear models
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- On-line monitoring of pollution concentrations with autoregressive moving average time series
- On the use of estimating functions in monitoring time series for change points
- Reaction times of monitoring schemes for ARMA time series
- On the reaction time of moving sum detectors
- Structural breaks in time series
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
- Asymptotic properties of bubble monitoring tests
- Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points
- Sequential change point test in the presence of outliers: the density power divergence based approach
- Extreme value distribution of a recursive-type detector in linear model
- Sequential Monitoring for Changes in Models with a Polynomial Trend
- Monitoring parameter changes in models with a trend
- A new approach for open‐end sequential change point monitoring
- A Note on Online Change Point Detection
- Asymptotic behavior of delay times of bubble monitoring tests
- Monitoring multivariate time series
- BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
- Page's sequential procedure for change-point detection in time series regression
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