Testing for changes in the mean or variance of a stochastic process under weak invariance

DOI10.1016/S0378-3758(00)00188-9zbMath0979.62064OpenAlexW1974949092MaRDI QIDQ5928941

Josef G. Steinebach, Lajos Horváth

Publication date: 18 February 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(00)00188-9

zbMATH Keywords

consistencyBrownian bridgeCUSUMweak invariance principle

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

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A note on estimating the change-point of a gradually changing stochastic process, EWMA Charts for Detecting a Change-Point in the Drift of a Stochastic Process, Strong approximation for the sums of squares of augmented GARCH sequences, Off-line testing for a changed segment in the sample variance, Autoregressive Order Identification for VAR Models with Non Constant Variance, Moving Sum Data Segmentation for Stochastic Processes Based on Invariance, Testing for changes in the mean or variance of long memory processes, Asymptotics of trimmed CUSUM statistics, Bootstrap procedures for variance breaks test in time series with a changing trend, Sequential testing of gradual changes in the drift of a stochastic process, An estimator of the number of change points based on a weak invariance principle, Modified tests for change points in variance in the possible presence of mean breaks, Truncated sequential change-point detection based on renewal counting processes. II, Truncated Sequential Change‐point Detection based on Renewal Counting Processes, Permutation principles for the change analysis of stochastic processes under strong invariance, Sequential detection of gradual changes in the location of a general stochastic process

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