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Structural breaks in time series (Q2852477)

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scientific article; zbMATH DE number 6214202

Language	Label	Description	Also known as
English	Structural breaks in time series	scientific article; zbMATH DE number 6214202

Statements

scholarly article

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Structural breaks in time series (English)

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Journal of Time Series Analysis

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publication date

9 October 2013

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zbMATH Keywords

change points

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CUSUM

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long memory

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mean change

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unit root

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variance change

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MaRDI profile type

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2012.00819.x

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Time-Dependent Spectral Analysis of Nonstationary Time Series

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Strong rules for detecting the number of breaks in a time series

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Structural Breaks in Financial Time Series

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Tests for Parameter Instability and Structural Change With Unknown Change Point

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Strong approximation for the sums of squares of augmented GARCH sequences

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Estimation of a change-point in the mean function of functional data

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SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

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Break detection in the covariance structure of multivariate time series models

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Delay time in sequential detection of change

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Extreme value theory for stochastic integrals of Legendre polynomials

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Segmenting mean-nonstationary time series via trending regressions

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Change‐point monitoring in linear models

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Testing for changes in polynomial regression

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ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES

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Monitoring shifts in mean: asymptotic normality of stopping times

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Delay times of sequential procedures for multiple time series regression models

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On image segmentation using information theoretic criteria

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Statistical tests for a single change in mean against long-range dependence

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ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS

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Likelihood ratio tests for multiple structural changes

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Estimating and Testing Linear Models with Multiple Structural Changes

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Modelling structural breaks, long memory and stock market volatility: an overview

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A Bayesian Analysis for Change Point Problems

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Testing for changes in the covariance structure of linear processes

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SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

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The functional central limit theorem for a family of GARCH observations with applications

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On discriminating between long-range dependence and changes in mean

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Finite sample multivariate structural change tests with application to energy demand models

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The Hurst effect under trends

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Generalized autoregressive conditional heteroscedasticity

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Nonparametric change-point estimation

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Testing for a change in persistence in the presence of non-stationary volatility

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Estimation and comparison of multiple change-point models

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MOSUM tests for parameter constancy

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Monitoring Structural Change

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A limit theorem for the maximum of normalized sums of independent random variables

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Testing for a change in the parameter values and order of an autoregressive model

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Structural Break Estimation for Nonstationary Time Series Models

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Weak dependence. With examples and applications.

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Convergence in distribution of multiple change point estimators

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The Darling-Erdős theorem for sums of i.i.d. random variables

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Predictive tests for structural change with unknown breakpoint

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Testing for long memory in the presence of a general trend

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Rescaled variance and related tests for long memory in volatility and levels

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Asymptotic distributions of maximum likelihood tests for change in the mean

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An application of the maximum likelihood test to the change-point problem

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On the rate of approximations for maximum likelihood tests in change-point models

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Monitoring parameter change in AR\((p)\) time series models

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Truncated Sequential Change‐point Detection based on Renewal Counting Processes

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Truncated sequential change-point detection based on renewal counting processes. II

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On the rate of convergence of normal extremes

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Testing for structural change in conditional models

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SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

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Robust methods for detecting multiple level breaks in autocorrelated time series

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Testing for structural change in a long-memory environment

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Weakly dependent functional data

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The maximum likelihood method for testing changes in the parameters of normal observations

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Testing the stability of the functional autoregressive process

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Monitoring changes in linear models

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Inference for functional data with applications

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Testing for changes in multivariate dependent observations with an application to temperature changes

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Fractional differencing

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Bootstrapping sequential change-point tests for linear regression

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On the detection of changes in autoregressive time series. I: Asymptotics.

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Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

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Tests for changing mean with monotonic power

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Unit root tests with a break in innovation variance.

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Bootstrapping Sequential Change-Point Tests

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Change-point estimation in ARCH models

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The generalized fluctuation test: A unifying view

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An estimator of the number of change points based on a weak invariance principle

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On the residuals of autoregressive processes and polynomial regression

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Model selection criteria in multivariate models with multiple structural changes

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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?

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The multiple change-points problem for the spectral distribution

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Testing for structural change in regression with long memory processes

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The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes

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Monitoring structural changes with the generalized fluctuation test

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ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

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Long-Term Memory in Stock Market Prices

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An MDL approach to the climate segmentation problem

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Automatic Statistical Analysis of Bivariate Nonstationary Time Series

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CONTINUOUS INSPECTION SCHEMES

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A test for a change in a parameter occurring at an unknown point

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Nonparametric Sequential Change-Point Detection by a Vertically Trimmed Box Method

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Testing and estimating change-points in time series

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A Test Against Spurious Long Memory

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Estimating and Testing Structural Changes in Multivariate Regressions

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Functional data analysis.

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Mean shift testing in correlated data

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Changepoints in the North Atlantic Tropical Cyclone Record

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Estimating the dimension of a model

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Consistency of an estimator of the number of changes in binomial observations

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A simple test of changes in mean in the possible presence of long-range dependence

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Testing for Change Points in Time Series

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Monitoring procedures to detect unit roots and stationarity

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The effect of serial correlation on tests for parameter change at unknown time

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Detection of a “Disorder” in a Wiener Process

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Testing for a change in correlation at an unknown point in time using an extended functional delta method

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Strong invariance principles for dependent random variables

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Estimating a change point in the long memory parameter

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Estimating the number of change-points via Schwarz' criterion

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Long-memory property of nonlinear transformations of break processes

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High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications

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A Unified Approach to Structural Change Tests Based on ML Scores,<i>F</i>Statistics, and OLS Residuals

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1111/J.1467-9892.2012.00819.X

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Sitelinks

Mathematics(1 entry)

mardi Publication:2852477

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