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Sequential detection of gradual changes in the location of a general stochastic process
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Sequential detection of gradual changes in the location of a general stochastic process (2015)Sequential detection of gradual changes i…Detecting Gradual Changes in Locally Stationary Processes (2014)Detecting Gradual Changes in …Truncated sequential change-point detection based on renewal counting processes II (2008)Truncated sequential change-p…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Permutation principles for the change analysis of stochastic processes under strong invariance (2005)Permutation principles for th…Delay time in sequential detection of change (2004)Delay time in sequential dete…Testing for changes in the mean or variance of a stochastic process under weak invariance (2000)Testing for changes in the me…Limit theorems for a class of tests of gradual changes (2000)Limit theorems for a class of…Testing appearance of linear trend (1998)Testing appearance of linear …Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Stationarity of Garch processes and of some nonnegative time series (1992)Detection of Abrupt Changes: Theory and Applications. (1995)Limit theorems in change-point analysis (1997)Strong approximation for the sums of squares of augmented GARCH sequences (2006)Delay times of sequential procedures for multiple time series regression models (2009)SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)Truncated Sequential Change‐point Detection based on Renewal Counting Processes (2002)Brownian Motion and Stochastic Calculus. (1989)Sequential Change-Point Analysis based on Invariance Principles (2003)Gradual changes in long memory processes with applications (2007)Moving Sum Data Segmentation for Stochastic Processes Based on Invariance (2021)Stationary and related stochastic processes (1968)Extremes and related properties of random sequences and processes (1984)The Likelihood Ratio Test for a Change-Point in Simple Linear Regression (1989)A note on estimating the change-point of a gradually changing stochastic process (2002)Off-Line Statistical Process Control (2002)CONTINUOUS INSPECTION SCHEMES (1954)A Test for a Change in a Parameter Occurring at an Unknown Point (1955)Sequential testing of gradual changes in the drift of a stochastic process (2011)Asymptotic delay times of sequential tests based on U -statistics for early and late change points (2022)Permutation tests in change point analysis (2001)Resampling in the frequency domain of time series to determine critical values for change-point tests (2007)Asymptotic behaviour of a test statistic for detection of change in mean of vectors (2009)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Change point analysis of second order characteristics in non-stationary time series (2015)Change Point Analysis of Correlation in Non-stationary Time Series (2017)Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators (2021)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2004Delay time in sequential detection of change74 cited
  • 2014Detecting Gradual Changes in Locally Stationary Processes47 cited
  • 2000Testing for changes in the mean or variance of a stochastic process under weak invariance35 cited
  • 1998Testing appearance of linear trend32 cited
  • 2005Permutation principles for the change analysis of stochastic processes under strong invariance21 cited
  • 2000Limit theorems for a class of tests of gradual changes17 cited
  • 2008Truncated sequential change-point detection based on renewal counting processes II11 cited

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