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

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

Lajos H. Horvath2000

Article2000

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

Lajos H. Horvath · Josef Steinebach

35 citations·0/0 files stored·Journal of Statistical Planning and Inference

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Advanced Statistical Process Monitoring Probability and Statistical Research Fault Detection and Control Systems

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1997Limit theorems in change-point analysis 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES 1985Testing and estimating change-points in time series 2000Change-Point Estimation in ARCH Models 1995Testing for a Change in the Parameter Values and Order of an Autoregressive Model 1997The effect of long-range dependence on change-point estimators 1999Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes

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2002Truncated Sequential Change‐point Detection based on Renewal Counting Processes 2005Permutation principles for the change analysis of stochastic processes under strong invariance 2000Limit theorems for a class of tests of gradual changes 2002A note on estimating the change-point of a gradually changing stochastic process 2001An estimator of the number of change points based on a weak invariance principle

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Details

Year2000

Typearticle

Published2000-12-01

VenueJournal of Statistical Planning and Inference

ISSN-L0378-3758

Languageen

Citations35

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1016/s0378-3758(00)00188-9

openalex_workW1974949092

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2011

Asymptotics of trimmed CUSUM statistics

2017Studentized U-quantile processes under dependence with applications to change-point analysis