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Testing and estimating in the change-point problem of the spectral function
4 references·8 citing·50 second hop
Testing and estimating in the change-point problem of the spectral function (1992)Testing and estimating in the change-poin…Nonparametric Change-Point Estimation (1988)Nonparametric Change-Point Es…Detecting changes in signals and systems—A survey (1988)Detecting changes in signals …Nonparametric tests for the changepoint problem (1987)Nonparametric tests for the c…Testing and estimating change-points in time series (1985)Testing and estimating change…Changes of structure in financial time series and the Garch model (2022)Changes of structure in finan…On rapid change points under long memory (2010)On rapid change points under …Change-Point Problems: Bibliography and Review (2010)Change-Point Problems: Biblio…Testing for changes in the mean or variance of a stochastic process under weak invariance (2000)Testing for changes in the me…Testing for parameter changes in ARCH models (1999)Testing for parameter changes…Detection of Changes in Linear Sequences (1997)Detection of Changes in Linea…Testing for a change of the long-memory parameter (1996)Testing for a change of the l…Gaussian limit fields for the integrated periodogram (1996)Gaussian limit fields for the…CONTINUOUS INSPECTION SCHEMES (1954)A Test for a Change in a Parameter Occurring at an Unknown Point (1955)A Non-Parametric Approach to the Change-Point Problem (1979)On the power of nonparametric changepoint-tests (1994)Supervised learning for change-point detection (2006)A cusum change-point detection algorithm for non-stationary sequences with application to data network surveillance (2010)Generalized autoregressive conditional heteroskedasticity (1986)Modelling of extremal events in insurance and finance (1994)Introduction to Time Series and Forecasting (2002)Modeling and forecasting stock return volatility using a random level shift model (2009)Locally stationary long memory estimation (2010)Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model (2015)Fractional Brownian Motions, Fractional Noises and Applications (1968)Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Bayesian methods for change‐point detection in long‐range dependent processes (2002)Testing for homogeneity of variance in time series: Long memory, wavelets, and the Nile River (2002)How can we Define the Concept of Long Memory? An Econometric Survey (2005)Inference About the Change-Point in a Sequence of Random Variables (1970)A Bayesian approach to inference about a change-point in a sequence of random variables (1975)The Problem of the Nile: Conditional Solution to a Changepoint Problem (1978)Nonparametric Monitoring of Data Streams for Changes in Location and Scale (2011)Inference for single and multiple change‐points in time series (2013)A computationally efficient nonparametric approach for changepoint detection (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)Limit theorems in change-point analysis (1997)Limit theorems for a class of tests of gradual changes (2000)Truncated Sequential Change‐point Detection based on Renewal Counting Processes (2002)Permutation principles for the change analysis of stochastic processes under strong invariance (2005)Procedures for Reacting to a Change in Distribution (1971)Optimal Stopping Times for Detecting Changes in Distributions (1986)Statistical process control procedures for correlated observations (1991)Run-Length Distributions of Special-Cause Control Charts for Correlated Processes (1994)Agnostic Learning with Unknown Utilities (2016)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Persistence in Variance, Structural Change, and the GARCH Model (1990)Autoregressive conditional heteroskedasticity and changes in regime (1994)Testing for parameter constancy in GARCH() models (2004)Monitoring disruptions in financial markets (2005)Recent Advances in ARCH Modelling (2006)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing For and Dating Common Breaks in Multivariate Time Series (1998)Dating the integration of world equity markets (2002)Structural breaks in time series (2012)An estimator of the number of change points based on a weak invariance principle (2001)Resampling in the frequency domain of time series to determine critical values for change-point tests (2007)Detecting Multiple Change Points Using Adaptive Regression Splines With Application to Neural Recordings (2018)
this work references cited by second hop

References

  • 1988Detecting changes in signals and systems—A survey806 cited
  • 1985Testing and estimating change-points in time series338 cited
  • 1988Nonparametric Change-Point Estimation225 cited
  • 1987Nonparametric tests for the changepoint problem57 cited

Cited by

  • 1996Testing for a change of the long-memory parameter139 cited
  • 2022Changes of structure in financial time series and the Garch model78 cited
  • 1999Testing for parameter changes in ARCH models76 cited
  • 2000Testing for changes in the mean or variance of a stochastic process under weak invariance35 cited
  • 2010Change-Point Problems: Bibliography and Review26 cited
  • 1997Detection of Changes in Linear Sequences22 cited
  • 1996Gaussian limit fields for the integrated periodogram17 cited
  • 2010On rapid change points under long memory16 cited

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