Real time change-point detection in a nonlinear quantile model
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Publication:2986849
DOI10.1080/07474946.2016.1275482zbMath1366.62035arXiv1605.00533OpenAlexW2963433070MaRDI QIDQ2986849
Publication date: 16 May 2017
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.00533
asymptotic behaviortest statisticsequential detectionnonlinear quantile regressioncumulative sum (CUSUM) method
Parametric hypothesis testing (62F03) General nonlinear regression (62J02) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05)
Related Items (6)
Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ Test for conditional quantile change in GARCH models ⋮ Real-time detection of a change-point in a linear expectile model ⋮ Test by adaptive Lasso quantile method for real-time detection of a change-point ⋮ Sequential change point detection for high‐dimensional data using nonconvex penalized quantile regression ⋮ Test for conditional quantile change in general conditional heteroscedastic time series models
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