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Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series
16 references·0 citing·45 second hop
Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series (2009)Sequential Tests and Change Detection in …Testing for changes in the covariance structure of linear processes (2008)Testing for changes in the co…Monitoring parameter change in AR ( p ) time series models (2008)Monitoring parameter change i…Change detection in autoregressive time series (2007)Change detection in autoregre…SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS (2004)SEQUENTIAL CHANGE-POINT DETEC…Modelling structural breaks, long memory and stock market volatility: an overview (2004)Modelling structural breaks, …The Cusum Test for Parameter Change in Time Series Models (2003)The Cusum Test for Parameter …Sequential Change-Point Detection and Estimation (2003)Sequential Change-Point Detec…A New SPC Monitoring Method: The ARMA Chart (2000)A New SPC Monitoring Method: …Testing for a Change in the Parameter Values and Order of an Autoregressive Model (1995)Testing for a Change in the P…Detection of Abrupt Changes: Theory and Applications. (1995)Detection of Abrupt Changes: …Sequential detection of abrupt changes in spectral characteristics of digital signals (1983)Sequential detection of abrup…Detection of a “Disorder” in a Wiener Process (1982)Detection of a “Disorder” in …Sequential Procedures for Detecting Parameter Changes in a Time-Series Model (1977)Sequential Procedures for Det…The Effect of Serial Correlation on the Performance of CUSUM Tests II (1975)The Effect of Serial Correlat…The Effect of Serial Correlation on the Performance of CUSUM Tests (1974)The Effect of Serial Correlat…A Test for a Change in a Parameter Occurring at an Unknown Point (1955)A Test for a Change in a Para…Detection of Abrupt Changes in Signals and Dynamical Systems (1985)Testing and estimating change-points in time series (1985)Tests for a Change-Point (1987)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Change-Point Estimation in ARCH Models (2000)Extensions of some classical methods in change point analysis (2014)An Approach to the Probability Distribution of Cusum Run Length (1972)Time Series Analysis: Forecasting and Control (1977)Exponentially Weighted Moving Average Control Schemes: Properties and Enhancements (1990)Control Charts for Time Series: A Review (2004)A Markov Chain Model for the Adaptive CUSUM Control Chart (2006)SPC Procedures for Monitoring Autocorrelated Processes (2007)CONTINUOUS INSPECTION SCHEMES (1954)Detecting Initialization Bias in Simulation Output (1982)Confidence Interval Estimation Using Standardized Time Series (1983)A Statistical Control Chart for Stationary Process Data (1998)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE (2008)Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012)Forecasting the realized volatility of the oil futures market: A regime switching approach (2017)Persistence in Variance, Structural Change, and the GARCH Model (1990)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Break Detection for a Class of Nonlinear Time Series Models (2008)Structural Breaks in Financial Time Series (2009)Modelling volatility by variance decomposition (2013)Inference about the Change-Point from Cumulative Sum Tests (1971)Time Series Analysis Forecasting and Control. (1971)Desgin and comparative study of some sequential jump detection algorithms for digital signals (1983)Detecting changes in the ar parameters of a nonstationary arma process (1986)Statistical analysis of “structural change”: An annotated bibliography (1989)Testing for the Constancy of Parameters Over Time (1989)Limit theorems in change-point analysis (1997)Detection of Multiple Structural Breaks in Multivariate Time Series (2014)Green growth of cereal food production under the constraints of agricultural carbon emissions: A new insights from ARDL and VECM models (2021)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Dealing with Structural Breaks (2005)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)The effect of autocorrelation on the retrospectiveX-chart (1992)A Cumulative Sum Control Chart for Monitoring Process Variance (1995)On the run length of a Shewhart chart for correlated data (1995)
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References

  • 1995Detection of Abrupt Changes: Theory and Applications.1,033 cited
  • 1955A Test for a Change in a Parameter Occurring at an Unknown Point722 cited
  • 1974The Effect of Serial Correlation on the Performance of CUSUM Tests275 cited
  • 2003The Cusum Test for Parameter Change in Time Series Models222 cited
  • 2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited
  • 2000A New SPC Monitoring Method: The ARMA Chart165 cited
  • 1995Testing for a Change in the Parameter Values and Order of an Autoregressive Model148 cited
  • 2004SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS143 cited
  • 1975The Effect of Serial Correlation on the Performance of CUSUM Tests II125 cited
  • 1983Sequential detection of abrupt changes in spectral characteristics of digital signals114 cited
  • 2007Change detection in autoregressive time series112 cited
  • 1977Sequential Procedures for Detecting Parameter Changes in a Time-Series Model93 cited
  • 2008Monitoring parameter change in AR ( p ) time series models84 cited
  • 2008Testing for changes in the covariance structure of linear processes75 cited
  • 1982Detection of a “Disorder” in a Wiener Process

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39 cited
  • 2003Sequential Change-Point Detection and Estimation30 cited
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