The change-point problem for dependent observations

DOI10.1016/0378-3758(95)00148-4zbMath0856.62073OpenAlexW1965116275MaRDI QIDQ1923424

Remigijus Leipus, Liudas Giraitis, Donatas Surgailis

Publication date: 12 November 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/20933/1/beitrag.25.pdf

zbMATH Keywords

change-point problemmarginal distributionshort-memoryKolmogorov-Smirnov type testsstrictly stationary time seriesgeneral empirical processlong-memory moving-average process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Related Items (29)

TESTING FOR A CHANGE OF THE INNOVATION DISTRIBUTION IN AN ARCH MODEL ⋮ On detecting change in likelihood ratio ordering ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ Incorporating a change-point estimator when bootstrapping the empirical distribution of a stationary process ⋮ The integrated periodogram for long-memory processes with finite or infinite variance ⋮ Empirical processes for recurrent and transient random walks in random scenery ⋮ Modified tests for variance changes in autoregressive regression ⋮ Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence ⋮ Monitoring distributional changes of squared residuals in GARCH models ⋮ Serial rank statistics for detection of changes. ⋮ Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences ⋮ Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process ⋮ Change‐Point Tests for the Error Distribution in Non‐parametric Regression ⋮ Detection of multiple change-points in multivariate time series ⋮ Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data ⋮ Rates of convergence for the change-point estimator for long-range dependent sequences ⋮ Detection of multiple changes in a sequence of dependent variables ⋮ Nonparametric multiple change point estimation in highly dependent time series ⋮ Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test ⋮ CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS ⋮ Whittle estimator for finite-variance non-Gaussian time series with long memory ⋮ Testing for parameter changes in ARCH models ⋮ Testing for Change in Long‐Memory Stochastic Volatility Time Series ⋮ Bootstrapping the empirical distribution of a stationary process with change-point ⋮ Sequential block bootstrap in a Hilbert space with application to change point analysis ⋮ Convergence rates for estimating a change-point with long-range dependent sequences ⋮ Inference for single and multiple change-points in time series ⋮ Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach ⋮ Testing for the expected number of exceedances in strongly dependent seasonal time series

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