Monitoring parameter change in time series models
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Cites work
- scientific article; zbMATH DE number 3820918 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 1944026 (Why is no real title available?)
- Almost sure invariance principles for partial sums of mixing B-valued random variables
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Monitoring Structural Change
- Monitoring changes in linear models
- Monitoring structural changes with the generalized fluctuation test
- On strong invariance principles under dependence assumptions
- On studentizing a test for structural change
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
- The Cusum Test for Parameter Change in Time Series Models
- The effect of serial correlation on tests for parameter change at unknown time
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- Weak convergence of the sequential empirical processes of residuals in ARMA models
- β-mixing and moment properties of RCA models with application to GARCH(p,q)
Cited in
(29)- scientific article; zbMATH DE number 3945170 (Why is no real title available?)
- Self-normalized sequential change-point detection
- Sequential change point detection in ARMA-GARCH models
- Monitoring distributional changes of squared residuals in GARCH models
- Monitoring parameter changes in models with a trend
- Monitoring Distributional Changes in Autoregressive Models
- Parameter change test for autoregressive conditional duration models
- Inference for nonstationary time series of counts with application to change-point problems
- Sequential change-point detection in time series models with conditional heteroscedasticity
- Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model
- Sequential change-point detection in a multinomial logistic regression model
- Sequential online monitoring for autoregressive time series of counts
- The asymptotic distribution of CUSUM estimator based on α-mixing sequences
- Monitoring procedures for strict stationarity based on the multivariate characteristic function
- Monitoring parameter changes for random coefficient autoregressive models
- Monitoring parameter changes in RCA(\(p\)) models
- A note on monitoring time-varying parameters in an autoregression
- Monitoring the parameter changes in general ARIMA time series models
- Monitoring change point for diffusion parameter based on discretely observed sample from stochastic differential equation models
- Monitoring changes in RCA models
- Monitoring parameter change for time series models with conditional heteroscedasticity
- Monitoring parameter change for time series models with application to location-Scale heteroscedastic models
- The CUSUM statistic of change point under NA sequences
- Monitoring parameter change for bivariate time series models of counts
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Test for parameter changes in generalized random coefficient autoregressive model
- scientific article; zbMATH DE number 679932 (Why is no real title available?)
- Monitoring test for stability of copula parameter in time series
- Monitoring procedure for parameter change in causal time series
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