Page's sequential procedure for change-point detection in time series regression
From MaRDI portal
Publication:5263973
DOI10.1080/02331888.2013.870568zbMATH Open1395.62267arXiv1308.1237OpenAlexW2023741354MaRDI QIDQ5263973FDOQ5263973
Authors: Stefan Fremdt 
Publication date: 20 July 2015
Published in: Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1308.1237
Recommendations
- Robust monitoring of CAPM portfolio betas
- Modified sequential change point procedures based on estimating functions
- Consistent nonparametric change point detection combining CUSUM and marked empirical processes
- Sequential Change-Point Detection and Estimation
- Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10)
Cites Work
- Delay time in sequential detection of change
- Structural breaks in time series
- Delay times of sequential procedures for multiple time series regression models
- Title not available (Why is that?)
- Monitoring Structural Change
- Common risk factors in the returns on stocks and bonds
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Monitoring changes in linear models
- MOSUM tests for parameter constancy
- Strong approximation for the sums of squares of augmented GARCH sequences
- On the detection of changes in autoregressive time series. I: Asymptotics.
- On the reaction time of moving sum detectors
- Sequentiel testing for the stability of high-frequency portfolio betas
- Reaction times of monitoring schemes for ARMA time series
Cited In (20)
- Asymptotic distribution of the delay time in Page's sequential procedure
- Adaptive Change Point Monitoring for High-Dimensional Data
- Modified sequential change point procedures based on estimating functions
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- 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
- Collective Anomaly Detection in High-Dimensional Var Models
- 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
- Monitoring parameter changes in models with a trend
- A new approach for open‐end sequential change point monitoring
- Delay times of sequential procedures for multiple time series regression models
- Asymptotic behavior of delay times of bubble monitoring tests
- 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
This page was built for publication: Page's sequential procedure for change-point detection in time series regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5263973)
