Page's sequential procedure for change-point detection in time series regression

DOI10.1080/02331888.2013.870568zbMath1395.62267arXiv1308.1237OpenAlexW2023741354MaRDI QIDQ5263973

Stefan Fremdt

Publication date: 20 July 2015

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.1237

zbMATH Keywords

linear modelCUSUMinvariance principlechange-pointsequential testFama-French model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Sequential statistical analysis (62L10)

Related Items (15)

Sequential change point detection in high dimensional time series ⋮ Adaptive Change Point Monitoring for High-Dimensional Data ⋮ Asymptotic distribution of the delay time in Page's sequential procedure ⋮ Collective Anomaly Detection in High-Dimensional Var Models ⋮ BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA ⋮ Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function ⋮ A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters ⋮ Extensions of some classical methods in change point analysis ⋮ Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions ⋮ Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic ⋮ Monitoring parameter changes in models with a trend ⋮ Anomaly detection: a functional analysis perspective ⋮ A new approach for open‐end sequential change point monitoring ⋮ Asymptotic Behavior of Delay Times of Bubble Monitoring Tests ⋮ Reaction times of monitoring schemes for ARMA time series

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• MOSUM tests for parameter constancy
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• Common risk factors in the returns on stocks and bonds

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