M-Procedures for Detection of Changes for Dependent Observations

DOI10.1080/03610918.2012.625790zbMath1347.62071OpenAlexW2162607255MaRDI QIDQ4905901

Marie Hušková, Miriam Marušiaková

Publication date: 21 February 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.625790

zbMATH Keywords

{\(\alpha\)}-mixingchange in locationM-test procedures

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17)

Related Items

A comparison of single and multiple changepoint techniques for time series data, Ratio detection for mean change in α mixing observations, Abrupt change in mean using block bootstrap and avoiding variance estimation, On \(L^2\) space approach to change point problems, \(M\)-procedures for detection of a change under weak dependence, Randomised pseudolikelihood ratio change point estimator in GARCH models, A robust test for mean change in dependent observations, Changepoint Detection in the Presence of Outliers, Comments on: ``Extensions of some classical methods in change point analysis

Uses Software

• R

Cites Work

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• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A binary control chart to detect small jumps
• Conditions for linear processes to be strong-mixing
• Moment bounds for stationary mixing sequences
• Adaptive bandwidth choice
• The Invariance Principle for Stationary Processes
• Some Limit Theorems for Stationary Processes
• Robust Statistics