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

DOI10.1214/16-EJS1215zbMATH Open1353.62095MaRDI QIDQ502846FDOQ502846

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

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• Detecting change in a random sequence
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• scientific article; zbMATH DE number 3878196

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)

Cited In (8)

• Bootstrapping the empirical distribution of a stationary process with change-point
• Sequential Detection of Change-Points in Linear Models
• Extreme value distribution of a recursive-type detector in linear model
• Real-time detection of a change-point in a linear expectile model
• 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
• Detecting linear sequences and subsequences
• Incorporating a change-point estimator when bootstrapping the empirical distribution of a stationary process

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