Break detection for a class of nonlinear time series models
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Publication:3552855
DOI10.1111/J.1467-9892.2008.00585.XzbMATH Open1199.62006OpenAlexW2143975431MaRDI QIDQ3552855FDOQ3552855
Authors: Richard A. Davis, Gabriel A. Rodriguez-Yam, Thomas C. M. Lee 
Publication date: 22 April 2010
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00585.x
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59)
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Cited In (38)
- Piecewise autoregression for general integer-valued time series
- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- Thick Pen Transformation for Time Series
- Heteroscedasticity and Autocorrelation Robust Structural Change Detection
- Consistency of minimum description length model selection for piecewise stationary time series models
- Multiple breaks detection in general causal time series using penalized quasi-likelihood
- Periodic autoregressive model identification using genetic algorithms
- BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES
- Generalized threshold latent variable model
- Using Chernoff’s Bounding Method for High-Performance Structural Break Detection and Forecast Error Reduction
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- A general class of CUSUM statistics
- Extensions of some classical methods in change point analysis
- Structural changes estimation for strongly dependent processes
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- A Composite Likelihood-Based Approach for Change-Point Detection in Spatio-Temporal Processes
- Inference for single and multiple change-points in time series
- Time-threshold maps: using information from wavelet reconstructions with all threshold values simultaneously
- Parametric methodologies for detecting changes in maximum temperature of Tlaxco, Tlaxcala, México
- Piecewise FARIMA models for long-memory time series
- A hypothesis testing procedure for random changepoint mixed models
- Cusums for tracking arbitrary functionals
- Monitoring procedure for parameter change in causal time series
- Mini-workshop: Time series with sudden structural changes. Abstracts from the mini-workshop held February 24 -- March 1, 2008.
- Detection of Multiple Structural Breaks in Multivariate Time Series
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- Метод обнаружения структурного сдвига в модели авторегрессионной условной гетероскедастичности: случай распределения Стьюдента
- Piecewise quantile autoregressive modeling for nonstationary time series
- A breakpoint detection in the mean model with heterogeneous variance on fixed time intervals
- Structural Break Estimation for Nonstationary Time Series Models
- Parsimonious periodic autoregressive models for time series with evolving trend and seasonality
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- A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
- Dynamic networks with multi-scale temporal structure
- Segmenting mean-nonstationary time series via trending regressions
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