M-procedures for detection of changes for dependent observations

DOI10.1080/03610918.2012.625790zbMATH Open1347.62071OpenAlexW2162607255MaRDI QIDQ4905901FDOQ4905901

Authors: 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

Recommendations

• \(M\)-procedures for detection of a change under weak dependence
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• Publication:4892797

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

• Mixing: Properties and examples
• Moment bounds for stationary mixing sequences
• Some Limit Theorems for Stationary Processes
• Robust Statistics
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• A note on Studentized confidence intervals for the change-point
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Invariance Principle for Stationary Processes
• On strong invariance principles under dependence assumptions
• Effect of dependence on statistics for determination of change
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
• Conditions for linear processes to be strong-mixing
• Adaptive bandwidth choice
• A binary control chart to detect small jumps
• Asymptotics of M-estimators in two-phase linear regression models.

Cited In (9)

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

Uses Software

• R

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