Change‐point monitoring in linear models

DOI10.1111/j.1368-423X.2006.00190.xzbMath1106.62067MaRDI QIDQ3422390

Marie Hušková, Lajos Horváth, Alexander Aue, Piotr S. Kokoszka

Publication date: 13 February 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

residuals; heteroskedastic errors; prediction errors; on-line change-point detection

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

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Change Detection in INARCH Time Series of Counts, Delay time in monitoring jump changes in linear models, Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling, Delay times of sequential procedures for multiple time series regression models, Asymptotic distribution of the delay time in Page's sequential procedure, On the reaction time of moving sum detectors, Change-point analysis in increasing dimension, Segmenting mean-nonstationary time series via trending regressions, Some partially sequential nonparametric tests for detecting linear trend, Change-point monitoring for online stochastic approximations, Modified procedures for change point monitoring in linear models, Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance, Monitoring shifts in mean: asymptotic normality of stopping times, Monitoring the intraday volatility pattern, Modified sequential change point procedures based on estimating functions, Bootstrapping sequential change-point tests for linear regression, Extreme value distribution of a recursive-type detector in linear model, On the use of estimating functions in monitoring time series for change points, On sequential detection of parameter changes in linear regression, Extensions of some classical methods in change point analysis, Monitoring procedure for parameter change in causal time series, Detection of Changes in INAR Models, Divergent Perpetuities Modulated by Regime Switches, Structural breaks in time series, Guaranteed Conditional Performance of Control Charts via Bootstrap Methods, SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS, ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES, Nonparametric partially random sequential test under Phase II sampling: An illustration to monitor water samples for arsenic contamination, Local Fourier tests for structural change based on residuals, Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes, CUSUM Methods for Monitoring Structural Changes in Structural Equations, Monitoring Structural Changes in Generalized Linear Models, On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process

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