Monitoring Structural Change
From MaRDI portal
Publication:4895055
DOI10.2307/2171955zbMath0856.90027OpenAlexW2016713852MaRDI QIDQ4895055
Halbert White, Maxwell B. Stinchcombe, 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
Related Items
Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices, Delay time in monitoring jump changes in linear models, SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET, SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS, Statistical Surveillance. Optimality and Methods, Adaptive Change Point Monitoring for High-Dimensional Data, Unnamed Item, Monitoring parameter change for bivariate time series models of counts, Sequential change point detection in ARMA-GARCH models, Real-time change point detection in linear models using the ranking selection procedure, BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA, Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function, Editor’s special invited paper: On the efficient score vector in sequential monitoring, A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters, Aspects on the control of false alarms in statistical surveillance and the impact on the return of financial decision systems, A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals, A Nonparametric Test for Deviation from Randomness with Applications to Stock Market Index Data, An online change detection test for parametric discrete-time stochastic processes, Monitoring Distributional Changes in Autoregressive Models, A new approach for open‐end sequential change point monitoring, Evaluations of likelihood ratio methods for surveillance., Monitoring sequential structural changes in penalized high-dimensional linear models, Asymptotic properties of bubble monitoring tests, Structural Change Monitoring for Random Coefficient Autoregressive Time Series, TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500, Page's sequential procedure for change-point detection in time series regression, Small sample properties of forecasts from autoregressive models under structural breaks, Poisson QMLE for change-point detection in general integer-valued time series models, Selection of estimation window in the presence of breaks, Sequential Change-Point Detection in State-Space Models, Strong approximation for RCA(1) time series with applications, Properties and Use of the Shewhart Method and Its Followers, EWMA Control Charts for Monitoring Optimal Portfolio Weights, Monitoring disruptions in financial markets, Quality control for structural credit risk models, Monitoring changes in linear models, On sequential detection of parameter changes in linear regression, Delay times of sequential procedures for multiple time series regression models, Methods of analyzing nonstationary time series with implicit changes in their properties, SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS, Monitoring procedure for parameter change in causal time series, 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, Learning and forecasts about option returns through the volatility risk premium, Monitoring parameter change in linear regression model based on the efficient score vector, A simple test for a bubble based on growth and acceleration, Monitoring mean and variance change-points in long-memory time series, Sequential testing with uniformly distributed size, ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES, When bubbles burst: econometric tests based on structural breaks, On the application of new tests for structural changes on global minimum-variance portfolios, Change-point monitoring for online stochastic approximations, Modified procedures for change point monitoring in linear models, A new fluctuation test for constant variances with applications to finance, Asymptotic distribution of the delay time in Page's sequential procedure, Monitoring persistent change in a heavy-tailed sequence with polynomial trends, Sequential testing for structural stability in approximate factor models, Bootstrapping sequential change-point tests for linear regression, Nonparametric partially random sequential test under Phase II sampling: An illustration to monitor water samples for arsenic contamination, Real-time monitoring test for realized volatility, Monitoring the intraday volatility pattern, Inference for post-change parameters after sequential CUSUM test under AR(1) model, On the Performance of the Fluctuation Test for Structural Change, On the reaction time of moving sum detectors, Strong rules for detecting the number of breaks in a time series, A monitoring procedure for detecting structural breaks in factor copula models, Unnamed Item, Testing, monitoring, and dating structural changes in exchange rate regimes, A general approach to the joint asymptotic analysis of statistics from sub-samples, Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth, Monitoring test for stability of copula parameter in time series, Sequential monitoring of minimum variance portfolio, Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes, A Near-Nonparametric Partially Sequential Test for Monitoring Phase II Location Under Pairwise Dependence Between Two Phases, CUSUM Methods for Monitoring Structural Changes in Structural Equations, Monitoring multivariate time series, Sufficient Reduction in Multivariate Surveillance, Modified sequential change point procedures based on estimating functions, Powerful tests for structural changes in volatility, Some partially sequential nonparametric tests for detecting linear trend, Sequential testing of gradual changes in the drift of a stochastic process, Monitoring unit root and multiple structural changes: An information criterion approach, Delay time in sequential detection of change, Some statistical aspects of methods for detection of turning points in business cycles, Extreme value distribution of a recursive-type detector in linear model, A Note on Online Change Point Detection, Semi-Sequential One-Shot Monitoring of Small Disorders With Controlled Type I Error Rate, Monitoring parameter change in time series models, Monitoring change in persistence in linear time series, Relevant change points in high dimensional time series, Sequential monitoring of portfolio betas, Sequential monitoring of the tail behavior of dependent data, Monitoring parameter changes for random coefficient autoregressive models, Monitoring parameter changes in RCA(\(p\)) models, Extensions of some classical methods in change point analysis, Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance, 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, Sequential monitoring for changes from stationarity to mild non-stationarity, Sequential Monitoring for Changes in Models with a Polynomial Trend, Controlling Type-I Error Rate in Monitoring Structural Changes Using Partially Sequential Procedures, A note on monitoring time-varying parameters in an autoregression, Monitoring risk in a ruin model perturbed by diffusion, Monitoring parameter changes in models with a trend, Some Rank-Based Two-Phase Procedures in Sequential Monitoring of Exchange Rate, Sequential Detection of Change-Points in Linear Models, Sequential change-point detection in a multinomial logistic regression model, Monitoring for a change point in a sequence of distributions, Monitoring shifts in mean: asymptotic normality of stopping times, Monitoring Structural Changes in Generalized Linear Models, Optimal Sequential Surveillance for Finance, Public Health, and Other Areas, Detection of Changes in INAR Models, Monitoring Changes in RCA Models, Anomaly detection: a functional analysis perspective, The monitoring test for the stability of regression models with nonstationary regressors, Inference for nonstationary time series of counts with application to change-point problems, Change‐point monitoring in linear models, Structural breaks in time series, Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration, Information, addiction, and `bad choices': Lessons from a century of cigarettes, On the use of estimating functions in monitoring time series for change points, Sequential change point detection in linear quantile regression models, Reaction times of monitoring schemes for ARMA time series, Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling, Test for parameter changes in generalized random coefficient autoregressive model
