On the detection of changes in autoregressive time series. I: Asymptotics.
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Cites work
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- A Martingale Inequality and the Law of Large Numbers
- Change in autoregressive processes
- Change-point estimation in ARCH models
- Change-point in the mean of dependent observations
- ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
- On the detection of changes in autoregressive time series. II: Resampling procedures
- On the residuals of autoregressive processes and polynomial regression
- Testing for a change in the parameter values and order of an autoregressive model
- The maximum likelihood method for testing changes in the parameters of normal observations
- Time series: theory and methods.
Cited in
(62)- Synthetic detection of change point and outliers in bilinear time series models
- Retrospective change detection for binary time series models
- Structural changes in autoregressive models for binary time series
- Page's sequential procedure for change-point detection in time series regression
- A partial review on testing for change points in autoregressive time series models
- Changepoints in times series of counts
- Asymptotic and bootstrap tests for a change in autoregression omitting variability estimation
- Sequentiel testing for the stability of high-frequency portfolio betas
- Structural change monitoring for random coefficient autoregressive time series
- Delay time in monitoring jump changes in linear models
- Change in autoregressive processes
- scientific article; zbMATH DE number 7626763 (Why is no real title available?)
- A Bayesian analysis of a change in the parameters of autoregressive time series
- Optimal detection of changepoints with a linear computational cost
- Bootstrap procedures for online monitoring of changes in autoregressive models
- A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis
- Fourier methods for sequential change point analysis in autoregressive models
- Autocovariance estimation in regression with a discontinuous signal and m-dependent errors: a difference-based approach
- Detecting Markov random fields hidden in white noise
- Asymptotic distribution of the jump change-point estimator
- Testing for changes in the covariance structure of linear processes
- Strong approximations and sequential change-point analysis for diffusion processes
- Monitoring parameter change in AR\((p)\) time series models
- A statistical test of change-point in mean that almost surely has zero error probabilities
- Testing for structural stability in the whole sample
- Extensions of some classical methods in change point analysis
- Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
- A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
- Multiple change point detection and validation in autoregressive time series data
- On the detection of changes in autoregressive time series. II: Resampling procedures
- Structural breaks in time series
- Online structural break detection in financial durations
- On the distribution of the test statistic for detecting a point of change in real and Gaussian A.R.M.A. parameters
- Multiple change point detection for high-dimensional data
- Estimating nonlinear regression with and without change-points by the LAD method
- Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
- Estimation of change points for non-linear (auto-)regressive processes using neural network functions
- Testing and estimating change-points in time series
- A Bayesian detection of structural changes in autoregressive time series models
- Monitoring changes in the error distribution of autoregressive models based on Fourier methods
- Approximation of quasiperiodic signal phase trajectory using directional regression
- A surveillance procedure for random walks based on local linear estimation
- Testing the stability of the functional autoregressive process
- Testing for changes in linear models using weighted residuals
- Invariance principles for change-point problems under dependent random variables
- Testing for parameter stability in nonlinear autoregressive models
- Testing for parameter constancy in general causal time-series models
- Detection of stationary errors in multiple regressions with integrated regressors and cointegration
- Estimating a gradual parameter change in an AR(1)-process
- Inference for post-change parameters after sequential CUSUM test under AR(1) model
- \(M\)-procedures for detection of a change under weak dependence
- A new approach for open‐end sequential change point monitoring
- Change detection in \(\mathrm{INAR}(p)\) processes against various alternative hypotheses
- Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
- Delay times of sequential procedures for multiple time series regression models
- Multiple testing correction for mean tests in time series rolling window analysis with an application of GWAS methods
- Monitoring distributional changes of squared residuals in GARCH models
- scientific article; zbMATH DE number 3890563 (Why is no real title available?)
- Change detection in autoregressive time series
- On testing changes in autoregressive parameters of a VAR model
- Tests for parameter changes in time series
- On residual CUSUM statistic for PINAR(1) model in statistical design and diagnostic of control chart
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