Monitoring Structural Change
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Publication:4895055
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Cited in
(only showing first 100 items - show all)- Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices
- Asymptotic distribution of the delay time in Page's sequential procedure
- Page's sequential procedure for change-point detection in time series regression
- Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- Sequentiel testing for the stability of high-frequency portfolio betas
- Test for parameter changes in generalized random coefficient autoregressive model
- Small sample properties of forecasts from autoregressive models under structural breaks
- Modified sequential change point procedures based on estimating functions
- Sequential testing of gradual changes in the drift of a stochastic process
- Delay time in sequential detection of change
- Structural change monitoring for random coefficient autoregressive time series
- Delay time in monitoring jump changes in linear models
- Relevant change points in high dimensional time series
- Adaptive Change Point Monitoring for High-Dimensional Data
- 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
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- Sequential monitoring of the tail behavior of dependent data
- Nonparametric monitoring of equal predictive ability
- Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
- On-line monitoring of pollution concentrations with autoregressive moving average time series
- Monitoring parameter change in time series models
- Monitoring change in persistence in linear time series
- 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
- Selection of estimation window in the presence of breaks
- Testing, monitoring, and dating structural changes in exchange rate regimes
- On the use of estimating functions in monitoring time series for change points
- When bubbles burst: econometric tests based on structural breaks
- A new fluctuation test for constant variances with applications to finance
- The monitoring test for the stability of regression models with nonstationary regressors
- Poisson QMLE for change-point detection in general integer-valued time series models
- Sequential detection of parameter changes in dynamic conditional correlation models
- Sequential online monitoring for autoregressive time series of counts
- Nonparametric partially random sequential test under phase II sampling: an illustration to monitor water samples for arsenic contamination
- Extensions of some classical methods in change point analysis
- 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
- Monitoring disruptions in financial markets
- On the reaction time of moving sum detectors
- Reaction times of monitoring schemes for ARMA time series
- Aspects on the control of false alarms in statistical surveillance and the impact on the return of financial decision systems
- Sequential monitoring of portfolio betas
- Quality control for structural credit risk models
- Sequential monitoring for change in scale
- Structural breaks in time series
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
- 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
- Real-time change point detection in linear models using the ranking selection procedure
- Monitoring changes in linear models
- Monitoring for a change point in a sequence of distributions
- Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
- Change-point monitoring for online stochastic approximations
- Modified procedures for change point monitoring in linear models
- Strong rules for detecting the number of breaks in a time series
- Monitoring changes in RCA models
- On sequential detection of parameter changes in linear regression
- Learning and forecasts about option returns through the volatility risk premium
- Robust monitoring of CAPM portfolio betas. II
- Sequential monitoring for changes from stationarity to mild non-stationarity
- Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
- Strong approximation for RCA(1) time series with applications
- A note on monitoring time-varying parameters in an autoregression
- Monitoring risk in a ruin model perturbed by diffusion
- 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
- Self-normalized sequential change-point detection
- Properties and Use of the Shewhart Method and Its Followers
- Editor's special invited paper: On the efficient score vector in sequential monitoring
- A simple test for a bubble based on growth and acceleration
- Asymptotic properties of bubble monitoring tests
- Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
- Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic
- Sequential change point test in the presence of outliers: the density power divergence based approach
- Monitoring shifts in mean: asymptotic normality of stopping times
- Evaluations of likelihood ratio methods for surveillance.
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Learning and Index Option Returns
- Sequential Detection of Change-Points in Linear Models
- Monitoring parameter change in linear regression model based on the efficient score vector
- Extreme value distribution of a recursive-type detector in linear model
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- Sequential testing with uniformly distributed size
- Methods of analyzing nonstationary time series with implicit changes in their properties
- Sequential Monitoring for Changes in Models with a Polynomial Trend
- Monitoring parameter change for bivariate time series models of counts
- Detection of stationary errors in multiple regressions with integrated regressors and cointegration
- Monitoring mean and variance change-points in long-memory time series
- Monitoring Structural Changes in Generalized Linear Models
- Inference for post-change parameters after sequential CUSUM test under AR(1) model
- Sequential change-point detection in a multinomial logistic regression model
- An online change detection test for parametric discrete-time stochastic processes
- Monitoring parameter changes in models with a trend
- Monitoring test for stability of copula parameter in time series
- Monitoring procedure for parameter change in causal time series
- Sequential Change-Point Detection in State-Space Models
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