Page's sequential procedure for change-point detection in time series regression
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Abstract: In a variety of different settings cumulative sum (CUSUM) procedures have been applied for the sequential detection of structural breaks in the parameters of stochastic models. Yet their performance depends strongly on the time of change and is best under early-change scenarios. For later changes their finite sample behavior is rather questionable. We therefore propose modified CUSUM procedures for the detection of abrupt changes in the regression parameter of multiple time series regression models, that show a higher stability with respect to the time of change than ordinary CUSUM procedures. The asymptotic distributions of the test statistics and the consistency of the procedures are provided. In a simulation study it is shown that the proposed procedures behave well in finite samples. Finally the procedures are applied to a set of capital asset pricing data related to the Fama-French extension of the capital asset pricing model.
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Cites work
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
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Cited in
(24)- Asymptotic distribution of the delay time in Page's sequential procedure
- Modified sequential change point procedures based on estimating functions
- Adaptive Change Point Monitoring for High-Dimensional Data
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- Monitoring time series with short detection delay
- Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function
- Extensions of some classical methods in change point analysis
- Reaction times of monitoring schemes for ARMA time series
- Robust monitoring of CAPM portfolio betas. II
- Sequential change point detection in high dimensional time series
- Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
- Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic
- Collective Anomaly Detection in High-Dimensional Var Models
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- A new approach for open‐end sequential change point monitoring
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- Robust monitoring of CAPM portfolio betas
- Anomaly detection: a functional analysis perspective
- BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
- Network online change point localization
- Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules
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