Monitoring Structural Change
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Publication:4895055
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Cited in
(only showing first 100 items - show all)- When bubbles burst: econometric tests based on structural breaks
- Some Rank-Based Two-Phase Procedures in Sequential Monitoring of Exchange Rate
- Delay times of sequential procedures for multiple time series regression models
- Sequentiel testing for the stability of high-frequency portfolio betas
- On the Performance of the Fluctuation Test for Structural Change
- Monitoring unit root and multiple structural changes: An information criterion approach
- A new approach for open‐end sequential change point monitoring
- Asymptotic distribution of the delay time in Page's sequential procedure
- On sequential detection of parameter changes in linear regression
- Monitoring disruptions in financial markets
- On the reaction time of moving sum detectors
- The monitoring test for the stability of regression models with nonstationary regressors
- Delay time in monitoring jump changes in linear models
- Selection of estimation window in the presence of breaks
- A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
- Monitoring parameter change in time series models
- Sequential Monitoring for Changes in Models with a Polynomial Trend
- Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
- Nonparametric monitoring of equal predictive ability
- Sequential monitoring for change in scale
- Monitoring structural changes with the generalized fluctuation test
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- On the use of estimating functions in monitoring time series for change points
- Monitoring changes in linear models
- Monitoring shifts in mean: asymptotic normality of stopping times
- EWMA Control Charts for Monitoring Optimal Portfolio Weights
- On the application of new tests for structural changes on global minimum-variance portfolios
- On-line monitoring of pollution concentrations with autoregressive moving average time series
- Page's sequential procedure for change-point detection in time series regression
- A Note on Online Change Point Detection
- Monitoring for a change point in a sequence of distributions
- Change-point monitoring for online stochastic approximations
- Modified procedures for change point monitoring in linear models
- Monitoring change in persistence in linear time series
- Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling
- Sequential Detection of Change-Points in Linear Models
- Modified sequential change point procedures based on estimating functions
- Semi-sequential one-shot monitoring of small disorders with controlled type I error rate
- Sequential monitoring for changes from stationarity to mild non-stationarity
- A general approach to the joint asymptotic analysis of statistics from sub-samples
- Some partially sequential nonparametric tests for detecting linear trend
- A new fluctuation test for constant variances with applications to finance
- Two procedures for robust monitoring of probability distributions of economic data stream induced by depth functions
- Monitoring Structural Changes in Generalized Linear Models
- A near-nonparametric partially sequential test for monitoring phase II location under pairwise dependence between two phases
- Robust monitoring of CAPM portfolio betas
- Sequential monitoring of the tail behavior of dependent data
- Reaction times of monitoring schemes for ARMA time series
- Delay time in sequential detection of change
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Test for parameter changes in generalized random coefficient autoregressive model
- Powerful tests for structural changes in volatility
- Monitoring test for stability of copula parameter in time series
- Evaluations of likelihood ratio methods for surveillance.
- Statistical Surveillance. Optimality and Methods
- Extensions of some classical methods in change point analysis
- Testing, monitoring, and dating structural changes in exchange rate regimes
- Monitoring multivariate time series
- Small sample properties of forecasts from autoregressive models under structural breaks
- Change‐point monitoring in linear models
- Sequential testing of gradual changes in the drift of a stochastic process
- Structural breaks in time series
- Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- Strong rules for detecting the number of breaks in a time series
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- Bootstrapping sequential change-point tests for linear regression
- Relevant change points in high dimensional time series
- Quality control for structural credit risk models
- Strong approximation for RCA(1) time series with applications
- Robust monitoring of CAPM portfolio betas. II
- Controlling Type-I Error Rate in Monitoring Structural Changes Using Partially Sequential Procedures
- Monitoring the intraday volatility pattern
- Sequential testing for structural stability in approximate factor models
- Self-normalized sequential change-point detection
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function
- Poisson QMLE for change-point detection in general integer-valued time series models
- Learning and Index Option Returns
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
- Sequential change point detection in ARMA-GARCH models
- A simple test for a bubble based on growth and acceleration
- Monitoring parameter change in linear regression model based on the efficient score vector
- 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 monitoring of minimum variance portfolio
- Sequential change point test in the presence of outliers: the density power divergence based approach
- Monitoring sequential structural changes in penalized high-dimensional linear models
- Monitoring parameter changes in models with a trend
- On the identification of time for parameter variabilities
- Real-time monitoring test for realized volatility
- Structural change monitoring for random coefficient autoregressive time series
- Monitoring Distributional Changes in Autoregressive Models
- An online change detection test for parametric discrete-time stochastic processes
- Some statistical aspects of methods for detection of turning points in business cycles
- Nonparametric partially random sequential test under phase II sampling: an illustration to monitor water samples for arsenic contamination
- Inference for nonstationary time series of counts with application to change-point problems
- BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
- Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
- Sequential change-point detection in time series models with conditional heteroscedasticity
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