A general procedure for change-point detection in multivariate time series

DOI10.1007/s11749-022-00824-zzbMath1516.62074arXiv2104.13789MaRDI QIDQ6114842

Mamadou Lamine Diop, William Charky Kengne

Publication date: 12 July 2023

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.13789

zbMATH Keywords

consistencymultivariate time serieschange-pointminimum contrast estimationinteger-valued time seriescausal processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Cites Work

• Unnamed Item
• Unnamed Item
• Retrospective change detection for binary time series models
• Structural changes in autoregressive models for binary time series
• Inference and testing for structural change in general Poisson autoregressive models
• Robust parameter change test for Poisson autoregressive models
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Test for parameter change in ARMA models with GARCH innovations
• Weakly dependent chains with infinite memory
• On conditional least squares estimation for stochastic processes
• A new weak dependence condition and applications to moment inequalities
• Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• Robust estimation for general integer-valued time series models
• Flexible bivariate Poisson integer-valued GARCH model
• Inference and model selection in general causal time series with exogenous covariates
• Multivariate count autoregression
• Test for parameter change based on the estimator minimizing density-based divergence meas\-ures
• Weak dependence. With examples and applications.
• Epidemic change-point detection in general causal time series
• Poisson QMLE of Count Time Series Models
• Theory and inference for a class of nonlinear models with application to time series of counts
• Testing for parameter constancy in general causal time-series models
• Parameter Change Test for Poisson Autoregressive Models
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator
• A test for a change in a parameter occurring at an unknown point
• Multivariate discrete exponential family of distributions and their properties
• Testing Parameter Change in General Integer‐Valued Time Series
• Tests for Structural Changes in Time Series of Counts
• Negative Binomial Quasi‐Likelihood Inference for General Integer‐Valued Time Series Models
• The Cusum Test for Parameter Change in Time Series Models
• Optimal Detection of Changepoints With a Linear Computational Cost
• On Testing Changes in Autoregressive Parameters of a VAR Model
• COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
• Detection of Changes in Multivariate Time Series With Application to EEG Data
• Changepoints in times series of counts
• Estimating and Testing Structural Changes in Multivariate Regressions