Real-time detection of a change-point in a linear expectile model

DOI10.1007/s00362-021-01278-5zbMath1493.62090arXiv2007.15137OpenAlexW3046030266MaRDI QIDQ2165847

Gabriela Ciuperca

Publication date: 23 August 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.15137

zbMATH Keywords

stopping timeadaptive Lassoexpectileasymmetric model errorreal-time change-point detection

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Adaptive Lasso and Its Oracle Properties
• Asymmetric Least Squares Estimation and Testing
• High-dimensional generalizations of asymmetric least squares regression and their applications
• Robust bent line regression
• Variable selection in high-dimensional linear model with possibly asymmetric errors
• Expectile regression for analyzing heteroscedasticity in high dimension
• A continuous threshold expectile model
• Test by adaptive Lasso quantile method for real-time detection of a change-point
• Cumulative sum estimator for change-point in panel data
• Modified sequential change point procedures based on estimating functions
• A tail adaptive approach for change point detection
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• Monitoring changes in linear models
• Bootstrapping sequential change-point tests for linear regression
• On partial-sum processes of ARMAX residuals
• Monitoring parameter changes in models with a trend
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity
• Sequential change point detection in linear quantile regression models
• Penalized expectile regression: an alternative to penalized quantile regression
• MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
• Sequential Monitoring for Changes in Models with a Polynomial Trend
• Adaptive LASSO model selection in a multiphase quantile regression
• Real time change-point detection in a nonlinear quantile model
• Change point detection in vector autoregression
• Bounds for the Rate of Strong Approximation in the Multidimensional Invariance Principle
• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• An online change detection test for parametric discrete-time stochastic processes
• Sequential change point detection in ARMA-GARCH models
• Online Change-Point Detection of Linear Regression Models
• Probability Inequalities for Sums of Bounded Random Variables
• Power properties of the modified CUSUM tests

This page was built for publication: Real-time detection of a change-point in a linear expectile model