Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series

DOI10.1111/jtsa.12431zbMath1418.62305arXiv1709.02673OpenAlexW2962908128WikidataQ129046545 ScholiaQ129046545MaRDI QIDQ3120663

Jean-David Fermanian, Axel Bücher, Ivan Kojadinovic

Publication date: 5 March 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.02673

zbMATH Keywords

copulamultiplier bootstraprank-based statisticstests of stationaritydependent \(p\)-value combination

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Nonparametric statistical resampling methods (62G09)

Related Items (7)

Adaptive Change Point Monitoring for High-Dimensional Data ⋮ Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification ⋮ Testing for changes in linear models using weighted residuals ⋮ A portmanteau-type test for detecting serial correlation in locally stationary functional time series ⋮ Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Detecting deviations from second-order stationarity in locally stationary functional time series

Uses Software

• R
• copula
• npcp
• copula
• locits
• fractal
• BootWPTOS
• costat

Cites Work

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