The CUSUM test for detecting structural changes in strong mixing processes

DOI10.1080/03610926.2012.700374MaRDI QIDQ2931571zbMATH OpenOpenAlexFDO

Authors F. Azizzadeh, Saeid Rezakhah

Publication date 26 November 2014

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.0097

zbMATH Keywords

Brownian bridgeCUSUM testfunctional central limit theoremstrong mixingstructural changes

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Strong mixing property holds for a broad class of linear and nonlinear time series models such as ARMA and GARCH models. In this article we study correlation structure of strong mixing sequences, and some asymptotic properties are presented. We also present a new method for detecting change point in correlation structure of strong mixing sequences, and present a nonparametric CUSUM test statistic for this. Asymptotic consistency of this test statistics is shown. This method is applied to simulated data of some linear and nonlinear models and power of the test is evaluated. For linear models, it is shown that this method have a better performance in compare to Berkes et al.(2009).

Recommendations

• A nonparametric test for the change of the density function in strong mixing processes.
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• scientific article; zbMATH DE number 4203488
• Testing for changes in the covariance structure of linear processes
• Consistent nonparametric change point detection combining CUSUM and marked empirical processes

Cites work

• Basic properties of strong mixing conditions. A survey and some open questions
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Covariance changes detection in multivariate time series
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Inference for mean change-point in infinite variance \(AR(p)\) process
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
• Some Limit Theorems for Stationary Processes
• Strong convergence rate of robust estimator of change point
• Testing for changes in the covariance structure of linear processes
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• The Cusum Test for Parameter Change in Time Series Models
• The functional central limit theorem under the strong mixing condition
• The invariance principle for ϕ-mixing sequences
• Time series: theory and methods.

Cited in

(10)

• A nonparametric test for the change of the density function in strong mixing processes.
• Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
• The Cusum Test for Parameter Change in Time Series Models
• The asymptotic distribution of CUSUM estimator based on α-mixing sequences
• ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS
• A modified CUSUM test for orthogonal structural changes

This page was built for publication: The CUSUM test for detecting structural changes in strong mixing processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2931571)