Page's sequential procedure for change-point detection in time series regression
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Publication:5263973
DOI10.1080/02331888.2013.870568zbMATH Open1395.62267arXiv1308.1237OpenAlexW2023741354MaRDI QIDQ5263973FDOQ5263973
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
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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)
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Cited In (16)
- Asymptotic distribution of the delay time in Page's sequential procedure
- Adaptive Change Point Monitoring for High-Dimensional Data
- 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
- Asymptotic Behavior of Delay Times of Bubble Monitoring Tests
- 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
- A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters
- 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
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