Monitoring Structural Change
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Publication:4895055
DOI10.2307/2171955zbMATH Open0856.90027OpenAlexW2016713852MaRDI QIDQ4895055FDOQ4895055
Authors: Maxwell B. Stinchcombe, Halbert White, Chia-Shang James Chu 
Publication date: 13 October 1996
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/1f9575c74a31a44a2ca122325198ba1770249daa
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- Modified sequential change point procedures based on estimating functions
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- Small sample properties of forecasts from autoregressive models under structural breaks
- Sequential testing of gradual changes in the drift of a stochastic process
- Relevant change points in high dimensional time series
- On the Performance of the Fluctuation Test for Structural Change
- Some partially sequential nonparametric tests for detecting linear trend
- Bootstrapping sequential change-point tests for linear regression
- Sequential monitoring of the tail behavior of dependent data
- Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
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- Monitoring parameter change in time series models
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- Testing, monitoring, and dating structural changes in exchange rate regimes
- TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
- Selection of estimation window in the presence of breaks
- On the use of estimating functions in monitoring time series for change points
- A new fluctuation test for constant variances with applications to finance
- When bubbles burst: econometric tests based on structural breaks
- The monitoring test for the stability of regression models with nonstationary regressors
- Extensions of some classical methods in change point analysis
- Reaction times of monitoring schemes for ARMA time series
- Monitoring disruptions in financial markets
- On the reaction time of moving sum detectors
- Sequential monitoring for change in scale
- Sequential monitoring of portfolio betas
- Structural breaks in time series
- Quality control for structural credit risk models
- Semi-sequential one-shot monitoring of small disorders with controlled type I error rate
- A near-nonparametric partially sequential test for monitoring phase II location under pairwise dependence between two phases
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- ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES
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- Strong rules for detecting the number of breaks in a time series
- On sequential detection of parameter changes in linear regression
- Sequential monitoring for changes from stationarity to mild non-stationarity
- Strong approximation for RCA(1) time series with applications
- Evaluations of likelihood ratio methods for surveillance.
- Monitoring shifts in mean: asymptotic normality of stopping times
- Sequential Detection of Change-Points in Linear Models
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- Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
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- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
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- A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters
- Sequential monitoring of minimum variance portfolio
- A Note on Online Change Point Detection
- Controlling Type-I Error Rate in Monitoring Structural Changes Using Partially Sequential Procedures
- Some Rank-Based Two-Phase Procedures in Sequential Monitoring of Exchange Rate
- Delay times of sequential procedures for multiple time series regression models
- Robust monitoring of CAPM portfolio betas
- Statistical Surveillance. Optimality and Methods
- Monitoring structural changes with the generalized fluctuation test
- Monitoring multivariate time series
- Monitoring unit root and multiple structural changes: An information criterion approach
- EWMA Control Charts for Monitoring Optimal Portfolio Weights
- On the application of new tests for structural changes on global minimum-variance portfolios
- Monitoring the intraday volatility pattern
- A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
- Page's sequential procedure for change-point detection in time series regression
- Powerful tests for structural changes in volatility
- Editor’s special invited paper: On the efficient score vector in sequential monitoring
- Adaptive Change Point Monitoring for High-Dimensional Data
- SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET
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- Detection of Changes in INAR Models
- Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function
- Information, addiction, and `bad choices': Lessons from a century of cigarettes
- Sequential detection of parameter changes in dynamic conditional correlation models
- Sequential online monitoring for autoregressive time series of counts
- Poisson QMLE for change-point detection in general integer-valued time series models
- Sufficient reduction in multivariate surveillance
- A nonparametric test for deviation from randomness with applications to stock market index data
- Monitoring Distributional Changes in Autoregressive Models
- Aspects on the control of false alarms in statistical surveillance and the impact on the return of financial decision systems
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
- Real-time change point detection in linear models using the ranking selection procedure
- Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
- Learning and forecasts about option returns through the volatility risk premium
- Asymptotic properties of bubble monitoring tests
- Nonparametric partially random sequential test under Phase II sampling: An illustration to monitor water samples for arsenic contamination
- Sequential change point detection in high dimensional time series
- Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points
- A note on monitoring time-varying parameters in an autoregression
- Monitoring risk in a ruin model perturbed by diffusion
- Properties and Use of the Shewhart Method and Its Followers
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Learning and Index Option Returns
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