CUSUM test for change point in stochastic trend with stationary process

DOI10.13338/J.ISSN.1006-8341.2017.02.011MaRDI QIDQ3131106zbMATH OpenFDO

Authors Ruibing Qin, Juan Guo

Publication date 29 January 2018

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)

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Cited in

(7)

• Inference for change point and post change means after a CUSUM test.
• The Cusum Test for Parameter Change in Time Series Models
• 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

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