On the detection of changes in autoregressive time series I. Asymptotics

By Marie Husková, Zuzana Prásková, Josef G. Steinebach. 2007

94 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/882d9feb8bff25a339fde3efffc92ecfb903b4e4

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Citations in the corpus

DEPENDENT FUNCTIONAL LINEAR MODELS WITH APPLICATIONS TO MONITORING STRUCTURAL CHANGE (2014, unknown): “Contributions to the area include, but are not limited to, Leisch, Hornik, and Kuan (2000), Zeileis et al. (2005), Aue et al. (2006), and Hušková, Prašková, and Steinebach (2007).”
Delay times of sequential procedures for multiple time series regression models (2009, unknown): “Berkes et al. (2004) discussed the problem of sequentially detecting change-points in the parameters of GARCH(p, q) processes, while Hušková et al. (2007) analyzed the stability of autoregressive time series.”
Extensions of some classical methods in change point analysis (2014, methodology): “Change detection in linear processes was investigated by Hušková et al. (2007, 2008), Kirch (2007a,b), Kirch and Politis (2011) and Kirch and Steinebach (2006).”
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011, methodology): “Modifications have since been applied successfully in various settings, including autoregressive processes (Hušková et al., 2007), GARCH processes (Berkes et al.”
Changepoints in times series of counts (2012, methodology): “Davis et al. (1995) obtain a Gaussian-type likelihood ratio statistic which is related to the approach using weighted sums of residuals by Huŝkova et al. (2007), both of which have power against a larger class of residuals than statistics based on partial sums of residuals.”
Optimal detection of changepoints with a linear computational cost (2011, methodology): “d. This section relaxes this assumption and allows for autoregressive dependence within a segment. Changes in autoregressive models have been considered by many authors including Davis et al. (2006), Huskov et al. (2007) and Gombay (2008). This section describes a simulation study that compares the ”
On the detection of changes in autoregressive time series, II. Resampling procedures (2008, methodology): “Next, we recall the main results from [17] on the limiting behavior of our test statistics under the null hypothesis.”
Structural breaks in time series (2013, methodology): “…gnðkÞg: Sequential tests based on CUSUM-based detector functions were considered in Aue et al. (2006, 2009) and Horváth et al. (2004) for linear and time series regressions, in Gombay and Serban (2009), Hušková et al. (2007) for AR processes, and in Berkes et al. (2004) for GARCH processes.”