CUSUM test for change point in stochastic trend with stationary process

DOI10.13338/J.ISSN.1006-8341.2017.02.011zbMATH Open1389.62016MaRDI QIDQ3131106FDOQ3131106

Authors: Ruibing Qin, Juan Guo 

Publication date: 29 January 2018

Recommendations

• Testing for changes in the mean or variance of a stochastic process under weak invariance
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Consistent nonparametric change point detection combining CUSUM and marked empirical processes
• Testing for changes in the mean or variance of long memory processes
• ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS

zbMATH Keywords

change pointstationary processstochastic trendCUSUM test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of parametric tests (62F05) Stationary stochastic processes (60G10)

Cited In (7)

• Testing for changes in the mean or variance of a stochastic process under weak invariance
• ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS
• A score statistic for testing the presence of a stochastic trend in conditional variances
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test
• The Cusum Test for Parameter Change in Time Series Models
• Inference for change point and post change means after a CUSUM test.

This page was built for publication: CUSUM test for change point in stochastic trend with stationary process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3131106)