M-procedures for detection of changes for dependent observations

DOI10.1080/03610918.2012.625790MaRDI QIDQ4905901zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• \(M\)-procedures for detection of a change under weak dependence
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• Change point detection in dependent sequences: invariance principles for some quadratic statistics.
• Recursive m–test for detection of change
• Publication:4892797

Cites work

• scientific article; zbMATH DE number 5713428 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• A binary control chart to detect small jumps
• A note on Studentized confidence intervals for the change-point
• Adaptive bandwidth choice
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• Asymptotics of M-estimators in two-phase linear regression models.
• Conditions for linear processes to be strong-mixing
• Effect of dependence on statistics for determination of change
• Mixing: Properties and examples
• Moment bounds for stationary mixing sequences
• On strong invariance principles under dependence assumptions
• Robust Statistics
• Some Limit Theorems for Stationary Processes
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Invariance Principle for Stationary Processes
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes

Cited in

(9)

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

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Uses Software

• R

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