Change-point detection in the marginal distribution of a linear process

DOI10.1214/16-EJS1215MaRDI QIDQ502846zbMATH OpenFDO

Authors Farid El Ktaibi, B. Gail Ivanoff

Publication date 11 January 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1481598074

zbMATH Keywords

change-pointsequential empirical processcausal linear process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

Recommendations

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• scientific article; zbMATH DE number 3878196

Cited in

(8)

• Detecting linear sequences and subsequences
• EWMA Charts for Detecting a Change-Point in the Drift of a Stochastic Process
• Detection of multiple change points for linear processes under negatively super-additive dependence
• Extreme value distribution of a recursive-type detector in linear model
• Incorporating a change-point estimator when bootstrapping the empirical distribution of a stationary process
• Sequential Detection of Change-Points in Linear Models
• Bootstrapping the empirical distribution of a stationary process with change-point
• Real-time detection of a change-point in a linear expectile model

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