Subsample scan test for multiple breaks based on self-normalization

DOI10.1080/03610926.2022.2087883MaRDI QIDQ6060902zbMATH OpenFDO

Authors Ji Eun Choi, Dong Wan Shin

Publication date 29 November 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2087883

zbMATH Keywords

canceling breaksself-normalizationsubsample scan method

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A CUSUM test for panel mean change detection
• A general panel break test based on the self-normalization method
• A mean-difference test based on self-normalization for alternating regime index data sets
• A nonparametric test for a constant correlation matrix
• A self-normalization break test for correlation matrix
• A self-normalization test for correlation change
• An asymptotic test for constancy of the variance under short-range dependence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference for multiple change points in time series via likelihood ratio scan statistics
• Nonmonotonic power for tests of a mean shift in a time series§
• Simple Robust Testing of Regression Hypotheses
• Testing for a change in correlation at an unknown point in time using an extended functional delta method
• Testing for change points in time series
• Testing Relevant Hypotheses in Functional Time Series via Self-Normalization
• Unsupervised self-normalized change-point testing for time series

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