Testing for parameter stability in nonlinear autoregressive models
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Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10) Neural nets and related approaches to inference from stochastic processes (62M45)
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- CONTROL CHARTS WITH WARNING LINES
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- Estimating market risk with neural networks
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- Testing linearity against smooth transition autoregressive models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The approximation of partial sums of independent RV's
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Cited in
(26)- Retrospective change detection for binary time series models
- Changepoints in times series of counts
- Modified sequential change point procedures based on estimating functions
- Change point detection via feedforward neural networks with theoretical guarantees
- A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis
- Bayesian multiple change-points detection in autocorrelated binary process with application to COVID-19 infection pattern
- scientific article; zbMATH DE number 6441661 (Why is no real title available?)
- Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Learning CHARME models with neural networks
- On the use of estimating functions in monitoring time series for change points
- Estimating change points in nonparametric time series regression models
- Extensions of some classical methods in change point analysis
- Location and scale-based CUSUM test with application to autoregressive models
- Dependent wild bootstrap for degenerate U- and V-statistics
- Testing for parameter instability in predictive regression models
- High dimensional efficiency with applications to change point tests
- Estimation of change points for non-linear (auto-)regressive processes using neural network functions
- Test for conditional quantile change in GARCH models
- Self-normalized sequential change-point detection
- Testing the stability of the functional autoregressive process
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Test for conditional quantile change in general conditional heteroscedastic time series models
- Testing nested and non-nested periodically integrated autoregressive models
- Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
- Modified residual CUSUM test for location-scale time series models with heteroscedasticity
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