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Sequential Change-Point Analysis based on Invariance Principles
16 references·0 citing·31 second hop
Sequential Change-Point Analysis based on Invariance Principles (2003)Sequential Change-Point Analysis based on…Parametric Statistical Change Point Analysis (2011)Parametric Statistical Change…The Cusum Test for Parameter Change in Time Series Models (2003)The Cusum Test for Parameter …Monitoring changes in linear models (2003)Monitoring changes in linear …GARCH processes: structure and estimation (2003)GARCH processes: structure an…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …Limit theorems in change-point analysis (1997)Limit theorems in change-poin…Monitoring Structural Change (1996)Monitoring Structural ChangeDetection of Abrupt Changes: Theory and Applications. (1995)Detection of Abrupt Changes: …Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Problem of the Nile: Conditional Solution to a Changepoint Problem (1978)The Problem of the Nile: Cond…A Test for a Change in a Parameter Occurring at an Unknown Point (1955)A Test for a Change in a Para…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESA Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Modelling the persistence of conditional variances (1986)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)Dealing with Structural Breaks (2005)Penalized Maximal t Test for Detecting Undocumented Mean Change in Climate Data Series (2007)Structural breaks in time series (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Procedures for Reacting to a Change in Distribution (1971)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Bayesian Online Changepoint Detection (2007)Sequential Changepoint Detection in Quality Control and Dynamical Systems (1995)Information bounds and quick detection of parameter changes in stochastic systems (1998)The State of Statistical Process Control as We Proceed into the 21st Century (2000)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Journal De La Société Française De Statistique (2005)Detection of multiple change-points in multivariate time series (2006)Multiscale Change Point Inference (2014)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1995Detection of Abrupt Changes: Theory and Applications.1,033 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 1955A Test for a Change in a Parameter Occurring at an Unknown Point722 cited
  • 2011Parametric Statistical Change Point Analysis597 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 2003GARCH processes: structure and estimation482 cited
  • 1996Monitoring Structural Change386 cited
  • 1978The Problem of the Nile: Conditional Solution to a Changepoint Problem289 cited
  • 2003The Cusum Test for Parameter Change in Time Series Models222 cited

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2003
Monitoring changes in linear models
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