Nuisance-parameter-free changepoint detection in non-stationary series

DOI10.1007/s11749-019-00659-1zbMath1447.62021arXiv1808.01905OpenAlexW2887100387WikidataQ127950938 ScholiaQ127950938MaRDI QIDQ2195742

Martin Wendler, Michal Pešta

Publication date: 27 August 2020

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.01905

zbMATH Keywords

changepointbootstraphypothesis testingnuisance parameternon-stationarityself-normalized statistic

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) General second-order stochastic processes (60G12) Applications of statistics to physics (62P35) Asymptotic properties of parametric tests (62F05)

Related Items (8)

Optimal difference-based variance estimators in time series: a general framework ⋮ Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features ⋮ Rank-based change-point analysis for long-range dependent time series ⋮ A weighted U-statistic based change point test for multivariate time series ⋮ Functional Estimation and Change Detection for Nonstationary Time Series ⋮ Changepoint in dependent and non-stationary panels ⋮ Infinitely stochastic micro reserving ⋮ A new limit result in change point analysis

Cites Work

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