Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series

DOI10.1080/03610920902947204MaRDI QIDQ3645012zbMATH OpenOpenAlexFDO

Authors Edit Gombay, Lajos Horváth

Publication date 16 November 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920902947204

zbMATH Keywords

approximationsBrownian motionchange in parameterslinear processes

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A test for a change in a parameter occurring at an unknown point
• 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
• Change detection in autoregressive time series
• Detection of a “Disorder” in a Wiener Process
• scientific article; zbMATH DE number 9266 (Why is no real title available?)
• scientific article; zbMATH DE number 3045589 (Why is no real title available?)
• Modelling structural breaks, long memory and stock market volatility: an overview
• Monitoring parameter change in AR\((p)\) time series models
• On strong invariance principles under dependence assumptions
• Sequential Change-Point Detection and Estimation
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Sequential detection of abrupt changes in spectral characteristics of digital signals
• Testing for a change in the parameter values and order of an autoregressive model
• Testing for changes in the covariance structure of linear processes
• The Cusum Test for Parameter Change in Time Series Models
• Time series: theory and methods.
• Truncated Sequential Change‐point Detection based on Renewal Counting Processes

Cited in

(11)

• Testing for changes in the covariance structure of linear processes
• Sequential testing with uniformly distributed size
• Sequential monitoring for changes from stationarity to mild non-stationarity
• Reaction times of monitoring schemes for ARMA time series
• Covariance changes detection in multivariate time series
• Testing and estimating change-points in time series
• scientific article; zbMATH DE number 1064092 (Why is no real title available?)
• Change-point analysis in increasing dimension
• Self-normalized sequential change-point detection
• Sequential confidence intervals for time series
• Testing for change in mean of independent multivariate observations with time varying covariance

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