Change-point methods for multivariate time-series: paired vectorial observations
From MaRDI portal
Publication:2208372
DOI10.1007/s00362-020-01175-3zbMath1452.62647OpenAlexW3022360828MaRDI QIDQ2208372
Zdeněk Hlávka, Simos G. Meintanis, Marie Hušková
Publication date: 2 November 2020
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-020-01175-3
Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations, ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH, A weighted U-statistic based change point test for multivariate time series, Editorial for the special issue: Change point detection, On functional data analysis and related topics
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate elliptically contoured stable distributions: theory and estimation
- Hierarchical clustering via joint between-within distances: extending Ward's minimum variance method
- Energy statistics: a class of statistics based on distances
- Cramér-von Mises and characteristic function tests for the two and \(k\)-sample problems with dependent data
- DISCO analysis: A nonparametric extension of analysis of variance
- Multiscale local change point detection with applications to value-at-risk
- Break detection in the covariance structure of multivariate time series models
- Mixing: Properties and examples
- Resampling methods for dependent data
- Two bootstrap strategies for a \(k\)-problem up to location-scale with dependent samples
- Checking the adequacy of the multivariate semiparametric location shift model
- Theoretical comparisons of block bootstrap methods
- Monitoring changes in linear models
- Bootstrapping sequential change-point tests for linear regression
- Nonparametric tests for change-point detection à la Gombay and Horváth
- Monitoring changes in the error distribution of autoregressive models based on Fourier methods
- Using labeled data to evaluate change detectors in a multivariate streaming environment
- Fast tests for the two-sample problem based on the empirical characteristic function
- On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence
- Functional CLT for nonstationary strongly mixing processes
- Large-sample approximations for variance-covariance matrices of high-dimensional time series
- Covariance changes detection in multivariate time series
- Change point analysis based on empirical characteristic functions
- Extensions of some classical methods in change point analysis
- Homogeneity and change-point detection tests for multivariate data using rank statistics
- Asymptotic Theory of Weakly Dependent Random Processes
- Tests for the multivariatek-sample problem based on the empirical characteristic function
- Bootstrapping Sequential Change-Point Tests
- Moment bounds for stationary mixing sequences
- Automatic Block-Length Selection for the Dependent Bootstrap
- Change Point Detection with Multivariate Observations Based on Characteristic Functions
- A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
- Group LASSO for Structural Break Time Series
- On the automatic selection of the tuning parameter appearing in certain families of goodness-of-fit tests
- Dependent Wild Bootstrap for the Empirical Process
- The Dependent Wild Bootstrap
- Detection of Multiple Structural Breaks in Multivariate Time Series
- A pairwise likelihood-based approach for changepoint detection in multivariate time series models
- Fourier–type tests involving martingale difference processes
- An Updated Literature Review of Distance Correlation and Its Applications to Time Series
