TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
From MaRDI portal
Publication:2716438
DOI10.1017/S0266466601171057zbMath0976.62088OpenAlexW2146777404MaRDI QIDQ2716438
Publication date: 8 January 2002
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466601171057
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Related Items
A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing ⋮ Bootstrap conditional distribution tests in the presence of dynamic misspecification ⋮ Detecting breaks in the dependence of multivariate extreme-value distributions ⋮ TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD ⋮ A fluctuation test for constant Spearman's rho with nuisance-free limit distribution ⋮ The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test ⋮ Testing for structural change in regression quantiles ⋮ Nonparametric Anomaly Detection on Time Series of Graphs ⋮ SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS ⋮ Incorporating a change-point estimator when bootstrapping the empirical distribution of a stationary process ⋮ A test for the distributional comparison of simulated and historical data ⋮ A new fluctuation test for constant variances with applications to finance ⋮ Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique ⋮ TESTING FOR THE MARKOV PROPERTY IN TIME SERIES ⋮ A WILD BOOTSTRAP FOR DEPENDENT DATA ⋮ Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk ⋮ A note on weak convergence of the sequential multivariate empirical process under strong mixing ⋮ Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series ⋮ Empirical processes for recurrent and transient random walks in random scenery ⋮ ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH ⋮ Monitoring distributional changes of squared residuals in GARCH models ⋮ A general approach to the joint asymptotic analysis of statistics from sub-samples ⋮ Conditional predictive density evaluation in the presence of instabilities ⋮ Fourier Methods for Sequential Change Point Analysis in Autoregressive Models ⋮ Change‐Point Tests for the Error Distribution in Non‐parametric Regression ⋮ Alternative tests for correct specification of conditional predictive densities ⋮ Change-point detection and bootstrap for Hilbert space valued random fields ⋮ Testing for parameter stability in quantile regression models ⋮ NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY ⋮ Bounds for inference with nuisance parameters present only under the alternative ⋮ Detecting changes in cross-sectional dependence in multivariate time series ⋮ Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions ⋮ TESTING FOR CHANGES IN KENDALL’S TAU ⋮ RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS ⋮ Bootstrapping the empirical distribution of a stationary process with change-point ⋮ On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process ⋮ Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series ⋮ Sequential block bootstrap in a Hilbert space with application to change point analysis ⋮ A consistent test for nonlinear out of sample predictive accuracy. ⋮ Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach ⋮ Bootstrap specification tests for diffusion processes
This page was built for publication: TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
