Delay times of sequential procedures for multiple time series regression models
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 741240 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A priori estimates in problems of ``change-points of a random sequence.
- An approach to the probability distribution of cusum run length
- Analysis of Financial Time Series
- Augmented GARCH\((p,q)\) process and its diffusion limit
- CONTINUOUS INSPECTION SCHEMES
- Change‐point monitoring in linear models
- Delay time in sequential detection of change
- Detecting changes in signals and systems - a survey
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimation and comparison of multiple change-point models
- Forecasting Time Series Subject to Multiple Structural Breaks
- Further evidence on breaking trend functions in macroeconomic variables
- Likelihood ratio tests for multiple structural changes
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- MOSUM tests for parameter constancy
- Monitoring Structural Change
- Monitoring changes in linear models
- Monitoring disruptions in financial markets
- Monitoring shifts in mean: asymptotic normality of stopping times
- Monitoring structural changes with the generalized fluctuation test
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- On the Performance of the Fluctuation Test for Structural Change
- On the detection of changes in autoregressive time series. I: Asymptotics.
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Selection of estimation window in the presence of breaks
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
- Strong approximation for the sums of squares of augmented GARCH sequences
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Using the generalized likelihood ratio statistic for sequential detection of a change-point
Cited in
(23)- Sequentiel testing for the stability of high-frequency portfolio betas
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
- A new approach for open‐end sequential change point monitoring
- Sequential change point test in the presence of outliers: the density power divergence based approach
- Asymptotic distribution of the delay time in Page's sequential procedure
- Two tests for sequential detection of a change-point in a nonlinear model
- On the reaction time of moving sum detectors
- Monitoring parameter changes in models with a trend
- Delay time in monitoring jump changes in linear models
- BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
- Sequential Monitoring for Changes in Models with a Polynomial Trend
- Asymptotic properties of bubble monitoring tests
- Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points
- On the use of estimating functions in monitoring time series for change points
- Extreme value distribution of a recursive-type detector in linear model
- On-line monitoring of pollution concentrations with autoregressive moving average time series
- Page's sequential procedure for change-point detection in time series regression
- A Note on Online Change Point Detection
- Asymptotic behavior of delay times of bubble monitoring tests
- Reaction times of monitoring schemes for ARMA time series
- Monitoring multivariate time series
- Structural breaks in time series
- A likelihood ratio approach to sequential change point detection for a general class of parameters
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