Random Walks with Drift – A Sequential Approach

DOI10.1111/j.1467-9892.2005.00450.xzbMath1098.62108arXiv1001.1828OpenAlexW2144027186MaRDI QIDQ5487369

Ansgar Steland

Publication date: 19 September 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.1828

zbMATH Keywords

stopping rulechange-point detectionoptimal kernelNadaraya-Watson estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Sequential estimation (62L12)

Related Items (6)

MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY ⋮ Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models ⋮ Weighted Dickey-Fuller processes for detecting stationarity ⋮ Sequential Data-Adaptive Bandwidth Selection by Cross-Validation for Nonparametric Prediction ⋮ A surveillance procedure for random walks based on local linear estimation ⋮ Testing and estimating change-points in the covariance matrix of a high-dimensional time series

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