On the Performance of the Fluctuation Test for Structural Change

DOI10.1080/07474940801989087MaRDI QIDQ3518364zbMATH OpenOpenAlexFDO

Authors Lajos Horváth, Mario Kühn, J. G. Steinebach

Publication date 7 August 2008

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474940801989087

zbMATH Keywords

stopping timestructural breakheavy tailfluctuation testmonitoring procedureapproximate critical valuelow momentsequential change point test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Sequential statistical analysis (62L10)

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Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• An approximation of partial sums of independent RV's, and the sample DF. II
• Extreme value theory. An introduction.
• Monitoring Structural Change
• Monitoring changes in linear models
• Monitoring disruptions in financial markets
• Monitoring structural changes with the generalized fluctuation test
• On linear processes with dependent innovations
• On the increments of Wiener and related processes
• Strong approximation for the sums of squares of augmented GARCH sequences

Cited in

(16)

• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Modified sequential change point procedures based on estimating functions
• Delay time in monitoring jump changes in linear models
• Bootstrap procedures for online monitoring of changes in autoregressive models
• A communication-efficient, online changepoint detection method for monitoring distributed sensor networks
• On the reaction time of moving sum detectors
• Sequential Detection of Change-Points in Linear Models
• Extreme value distribution of a recursive-type detector in linear model
• Sequential testing with uniformly distributed size
• Sequential Monitoring for Changes in Models with a Polynomial Trend
• Monitoring parameter changes in models with a trend
• Sequential Change-Point Detection in State-Space Models
• Monitoring parameter changes in RCA(\(p\)) models
• A new approach for open‐end sequential change point monitoring
• Delay times of sequential procedures for multiple time series regression models
• Monitoring structural changes with the generalized fluctuation test

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