Structural breaks in time series
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Recommendations
- Strong rules for detecting the number of breaks in a time series
- Long memory versus structural breaks: an overview
- Structural Breaks in Financial Time Series
- Structural changes estimation for strongly dependent processes
- Distinguishing between breaks in the mean and breaks in persistence under long memory
Cites work
- scientific article; zbMATH DE number 425941 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 922034 (Why is no real title available?)
- A Bayesian Analysis for Change Point Problems
- A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
- A limit theorem for the maximum of normalized sums of independent random variables
- A simple test of changes in mean in the possible presence of long-range dependence
- A test against spurious long memory
- A test for a change in a parameter occurring at an unknown point
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- An MDL approach to the climate segmentation problem
- An application of the maximum likelihood test to the change-point problem
- An estimator of the number of change points based on a weak invariance principle
- Asymptotic distributions of maximum likelihood tests for change in the mean
- Asymptotics of spectral density estimates
- Automatic Statistical Analysis of Bivariate Nonstationary Time Series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bootstrapping Sequential Change-Point Tests
- Bootstrapping sequential change-point tests for linear regression
- Break detection in the covariance structure of multivariate time series models
- CONTINUOUS INSPECTION SCHEMES
- Change-point estimation in ARCH models
- Changepoints in the North Atlantic Tropical Cyclone Record
- Change‐point monitoring in linear models
- Consistency of an estimator of the number of changes in binomial observations
- Convergence in distribution of multiple change point estimators
- Delay time in sequential detection of change
- Delay times of sequential procedures for multiple time series regression models
- Detection of a “Disorder” in a Wiener Process
- Estimating a change point in the long memory parameter
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating and Testing Structural Changes in Multivariate Regressions
- Estimating the dimension of a model
- Estimating the number of change-points via Schwarz' criterion
- Estimation and comparison of multiple change-point models
- Estimation of a change-point in the mean function of functional data
- Extreme value theory for stochastic integrals of Legendre polynomials
- Finite sample multivariate structural change tests with application to energy demand models
- Fractional differencing
- Functional data analysis.
- Generalized autoregressive conditional heteroscedasticity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
- Inference for functional data with applications
- Introduction to strong mixing conditions. Vol. 3.
- Likelihood ratio tests for multiple structural changes
- Long-Term Memory in Stock Market Prices
- Long-memory property of nonlinear transformations of break processes
- MOSUM tests for parameter constancy
- Mean shift testing in correlated data
- Model selection criteria in multivariate models with multiple structural changes
- Modelling structural breaks, long memory and stock market volatility: an overview
- Monitoring Structural Change
- Monitoring changes in linear models
- Monitoring parameter change in AR\((p)\) time series models
- Monitoring procedures to detect unit roots and stationarity
- Monitoring shifts in mean: asymptotic normality of stopping times
- Monitoring structural changes with the generalized fluctuation test
- Nonparametric Sequential Change-Point Detection by a Vertically Trimmed Box Method
- Nonparametric change-point estimation
- ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
- ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
- On discriminating between long-range dependence and changes in mean
- On image segmentation using information theoretic criteria
- On the detection of changes in autoregressive time series. I: Asymptotics.
- On the rate of approximations for maximum likelihood tests in change-point models
- On the rate of convergence of normal extremes
- On the residuals of autoregressive processes and polynomial regression
- Predictive tests for structural change with unknown breakpoint
- Rescaled variance and related tests for long memory in volatility and levels
- Robust methods for detecting multiple level breaks in autocorrelated time series
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- Segmenting mean-nonstationary time series via trending regressions
- Sequentiel testing for the stability of high-frequency portfolio betas
- Statistical tests for a single change in mean against long-range dependence
- Strong approximation for the sums of squares of augmented GARCH sequences
- Strong invariance principles for dependent random variables
- Strong rules for detecting the number of breaks in a time series
- Structural Break Estimation for Nonstationary Time Series Models
- Structural Breaks in Financial Time Series
- Testing and estimating change-points in time series
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Testing for a change in persistence in the presence of non-stationary volatility
- Testing for a change in the parameter values and order of an autoregressive model
- Testing for change points in time series
- Testing for changes in multivariate dependent observations with an application to temperature changes
- Testing for changes in polynomial regression
- Testing for changes in the covariance structure of linear processes
- Testing for long memory in the presence of a general trend
- Testing for structural change in a long-memory environment
- Testing for structural change in conditional models
- Testing for structural change in regression with long memory processes
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Testing the stability of the functional autoregressive process
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests for changing mean with monotonic power
- The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
- The Darling-Erdős theorem for sums of i.i.d. random variables
- The Hurst effect under trends
- The effect of serial correlation on tests for parameter change at unknown time
- The functional central limit theorem for a family of GARCH observations with applications
- The generalized fluctuation test: A unifying view
- The maximum likelihood method for testing changes in the parameters of normal observations
- The multiple change-points problem for the spectral distribution
- Time-Dependent Spectral Analysis of Nonstationary Time Series
- Truncated Sequential Change‐point Detection based on Renewal Counting Processes
- Truncated sequential change-point detection based on renewal counting processes. II
- Unit root tests with a break in innovation variance.
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- Weak dependence. With examples and applications.
- Weakly dependent functional data
Cited in
(only showing first 100 items - show all)- Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices
- Dating the break in high-dimensional data
- Empirical likelihood for break detection in time series
- Structural changes in autoregressive models for binary time series
- Two tests for sequential detection of a change-point in a nonlinear model
- Threshold models in time series analysis -- some reflections
- Page's sequential procedure for change-point detection in time series regression
- Distinguishing between breaks in the mean and breaks in persistence under long memory
- Change-point detection in high-dimensional covariance structure
- A partial review on testing for change points in autoregressive time series models
- A Unified Framework for Change Point Detection in High-Dimensional Linear Models
- Oracle efficient estimation of structural breaks in cointegrating regressions
- Trimmed stable AR(1) processes
- Detecting structural breaks in realized volatility
- Adaptive Inference for Change Points in High-Dimensional Data
- On optimal segmentation and parameter tuning for multiple change-point detection and inference
- Testing for jumps in the presence of smooth changes in trends of nonstationary time series
- Structural break analysis for spectrum and trace of covariance operators
- Time series analysis of COVID-19 infection curve: a change-point perspective
- Relevant change points in high dimensional time series
- Adaptive Change Point Monitoring for High-Dimensional Data
- Inference for change points in high-dimensional data via selfnormalization
- Dimension-agnostic change point detection
- Functional Estimation and Change Detection for Nonstationary Time Series
- A mixture integer-valued autoregressive model with a structural break
- Parameter change tests for ARMA-GARCH models
- Optimal change point detection in Gaussian processes
- On spatio-temporal model with diverging number of thresholds and its applications in housing market
- A semiparametric maximum likelihood ratio test for the change point in copula models
- Detecting weak changes in the mean of a class of nonlinear heteroscedastic models
- A weighted U-statistic based change point test for multivariate time series
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- Test for parameter change in the presence of outliers: the density power divergence-based approach
- A comparison of single and multiple changepoint techniques for time series data
- Empirical likelihood for change point detection in autoregressive models
- Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
- Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
- Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application
- Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
- On-line monitoring of pollution concentrations with autoregressive moving average time series
- Monitoring time series with short detection delay
- Bivariate change point detection in movement direction and speed
- Detecting multiple mean breaks at unknown points in official time series
- Quasi-maximum likelihood estimation for multiple volatility shifts
- Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search
- Time series: how unusual local behavior can be recognized using fuzzy modeling methods
- Likelihood asymptotics in nonregular settings: a review with emphasis on the likelihood ratio
- An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
- On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
- Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- A computationally efficient nonparametric approach for changepoint detection
- Multiscale change point detection via gradual bandwidth adjustment in moving sum processes
- Robust test for dispersion parameter change in discretely observed diffusion processes
- A distribution free test for changes in the trend function of locally stationary processes
- Adaptive parametric change point inference under covariance structure changes
- Change-point analysis for binomial autoregressive model with application to price stability counts
- A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection
- Extensions of some classical methods in change point analysis
- Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
- Change-points analysis for generalized integer-valued autoregressive model via minimum description length principle
- Robust inference for change points in high dimension
- Identifying different areas of inhomogenous mineral subsoil: spatial fluctuation approaches
- A strong convergence rate of estimator of variance change in linear processes and its applications
- Recent progress in parameter change test for integer-valued time series models
- Reaction times of monitoring schemes for ARMA time series
- A tail adaptive approach for change point detection
- Asynchronous changepoint estimation for spatially correlated functional time series
- Some nonparametric tests for change-point detection based on the \(\mathbb{P}\)-\(\mathbb{P}\) and \(\mathbb{Q}\)-\(\mathbb{Q}\) plot processes
- Multiple change point detection and validation in autoregressive time series data
- Detecting breaks in the dependence of multivariate extreme-value distributions
- Difference-based covariance matrix estimation in time series nonparametric regression with application to specification tests
- Change surfaces for expressive multidimensional changepoints and counterfactual prediction
- Functional data analysis in the Banach space of continuous functions
- Detecting and modeling changes in a time series of proportions
- Change point analysis on the Corinth Gulf (Greece) seismicity
- Stationary subspace analysis based on second-order statistics
- Robust multiscale estimation of time-average variance for time series segmentation
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Structural changes estimation for strongly dependent processes
- The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points
- Testing for shifts in mean with monotonic power against multiple structural changes
- A test for weak stationarity in the spectral domain
- High dimensional efficiency with applications to change point tests
- Change-point analysis of time series with evolutionary spectra
- Some asymptotic results for the integrated empirical process with applications to statistical tests
- Change-point inference in high-dimensional regression models under temporal dependence
- A test for trend gradual changes in heavy tailed AR(p) sequences
- Statistics for heteroscedastic time series extremes
- Change-point analysis with irregular signals
- Testing for parameter constancy in the time series direction in panel data models
- Strong rules for detecting the number of breaks in a time series
- Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
- Inference for single and multiple change-points in time series
- Strong approximations for the \(p\)-fold integrated empirical process with applications to statistical tests
- Gradient-based structural change detection for nonstationary time series M-estimation
- Continuous record asymptotics for change-point models
- Tests for changes in count time series models with exogenous covariates
- Estimation of change points for non-linear (auto-)regressive processes using neural network functions
- Tensor changepoint detection and eigenbootstrap
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