On the Performance of the Fluctuation Test for Structural Change
DOI10.1080/07474940801989087zbMATH Open1274.62513OpenAlexW2072444204MaRDI QIDQ3518364FDOQ3518364
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
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stopping timestructural breakheavy tailfluctuation testmonitoring procedureapproximate critical valuelow momentsequential change point test
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Sequential statistical analysis (62L10)
Cites Work
- Extreme value theory. An introduction.
- An approximation of partial sums of independent RV's, and the sample DF. II
- An approximation of partial sums of independent RV'-s, and the sample DF. I
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- Monitoring Structural Change
- Monitoring changes in linear models
- On the increments of Wiener and related processes
- Monitoring structural changes with the generalized fluctuation test
- Monitoring disruptions in financial markets
- Strong approximation for the sums of squares of augmented GARCH sequences
- On linear processes with dependent innovations
Cited In (16)
- On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
- Delay time in monitoring jump changes in linear models
- Modified sequential change point procedures based on estimating functions
- 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
- A new approach for open‐end sequential change point monitoring
- Monitoring parameter changes in RCA(\(p\)) models
- Delay times of sequential procedures for multiple time series regression models
- Monitoring structural changes with the generalized fluctuation test
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