scientific article; zbMATH DE number 922034

MaRDI QIDQ4892799zbMATH OpenFDO

Authors Edit Gombay, Lajos Horváth, Marie Hušková

Publication date 22 June 1997

zbMATH Keywords

weak convergencelimit distributionsBrownian bridgechange-pointindependent observationschange in varianceno-change null hypothesis

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Testing and estimating change-points in time series
• Detecting Changes in Linear Regressions
• Ratio test to detect change in the variance of linear process
• Testing for changes in the mean or variance of a stochastic process under weak invariance
• Variance estimation free tests for structural changes in regression

Cited in

(27)

• Detecting a change in variances
• Variance estimators in the chu‐white test for structural change
• Modified tests for change points in variance in the possible presence of mean breaks
• Bootstrap procedures for variance breaks test in time series with a changing trend
• Testing for changes in the covariance structure of linear processes
• Testing for changes in the mean or variance of a stochastic process under weak invariance
• Extensions of some classical methods in change point analysis
• An efficient algorithm for estimating a change-point
• Limit theorems for kernel-type estimators for the time of change
• On variance estimation under shifts in the mean
• Structural breaks in time series
• Ratio test for variance change point in linear process with long memory
• Ratio test to detect change in the variance of linear process
• Bayesian-type estimators of change points
• Change point detection and estimation methods under gamma series of observations
• An efficient algorithm to estimate the change in variance
• Detection and estimation of abrupt changes in the variability of a process
• Detection of multiple change points for linear processes under negatively super-additive dependence
• Optimal covariance change point localization in high dimensions
• Tests for scale changes based on pairwise differences
• An asymptotic test for constancy of the variance under short-range dependence
• Nonparametric tests for a change in the coefficient of variation
• Variance estimation for measures of change in probability sampling
• Off-line testing for a changed segment in the sample variance
• Variance estimation free tests for structural changes in regression
• Break detection in the covariance structure of multivariate time series models
• Change-of-variance problem for linear processes with long memory

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