Unsupervised self-normalized change-point testing for time series
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Cites work
- A functional central limit theorem for weakly dependent sequences of random variables
- A general approach to the joint asymptotic analysis of statistics from sub-samples
- A Modified Bayes Information Criterion with Applications to the Analysis of Comparative Genomic Hybridization Data
- A self-normalized approach to confidence interval construction in time series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotics of spectral density estimates
- Block sampling under strong dependence
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating the number of change-points via Schwarz' criterion
- Heteroscedasticity and Autocorrelation Robust Structural Change Detection
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- scientific article; zbMATH DE number 946666 (Why is no real title available?)
- Inference for Linear Models with Dependent Errors
- Komlós-Major-Tusnády approximation under dependence
- Nonparametric inference of quantile curves for nonstationary time series
- On self-normalization for censored dependent data
- Resampling methods for dependent data
- Self-Normalization for Time Series: A Review of Recent Developments
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- Strong invariance principles for dependent random variables
- Structural Break Estimation for Nonstationary Time Series Models
- Structural breaks in time series
- Subsampling
- Testing for change points in time series
- Testing parametric assumptions of trends of a nonstationary time series
- Testing That a Dependent Process Is Uncorrelated
- The central limit theorem for time series regression
- The dependent wild bootstrap
- The jackknife and the bootstrap for general stationary observations
- Weak convergence and empirical processes. With applications to statistics
Cited in
(40)- Estimating change-point latent factor models for high-dimensional time series
- High dimensional change point inference: recent developments and extensions
- Anomaly detection: a functional analysis perspective
- Time series analysis of COVID-19 infection curve: a change-point perspective
- A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models
- Inference for change points in high-dimensional data via selfnormalization
- A general panel break test based on the self-normalization method
- Optimal difference-based variance estimators in time series: a general framework
- Nuisance-parameter-free changepoint detection in non-stationary series
- Change point detection for nonparametric regression under strongly mixing process
- Hypothesis testing for high-dimensional time series via self-normalization
- Rank-based change-point analysis for long-range dependent time series
- Testing for change points in time series using a self-normalization based on Kolmogorov-Smirnov test: an analysis on China Shanghai composite index
- Self-normalized sequential change-point detection
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- A self-normalized semi-parametric test to detect changes in the long memory parameter
- Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
- Asymptotic behavior of optimal weighting in generalized self-normalization for time series
- Testing for change points in time series
- On optimal segmentation and parameter tuning for multiple change-point detection and inference
- Efficient multiple change point detection for high‐dimensional generalized linear models
- Subsample scan test for multiple breaks based on self-normalization
- A Unified Framework for Change Point Detection in High-Dimensional Linear Models
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Adaptive Inference for Change Points in High-Dimensional Data
- Loss function-based change point detection in risk measures
- Mean stationarity test in time series: a signal variance-based approach
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Change-point inference for high-dimensional heteroscedastic data
- Two-sample and change-point inference for non-Euclidean valued time series
- Prewhitened long-run variance estimation robust to nonstationarity
- A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests
- Non parametric breakpoint detection for weakly dependent spatiotemporal series
- Hypothesis Testing for a Functional Parameter via Self-Normalization
- Sequential monitoring for detection of breaks in panel data
- Pivotal inference for function-on-function linear regression via self-normalization
- Detection of changes in panel data models with stationary regressors
- Dimension-agnostic change point detection
- A warped self-normalized two-sample test for time series with staggered observation periods
- Testing for variance changes under varying mean and serial correlation
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