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Covariance changes detection in multivariate time series

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References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
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1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES494 cited
1971Inference about the Change-Point from Cumulative Sum Tests460 cited
1998Testing For and Dating Common Breaks in Multivariate Time Series434 cited
1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance399 cited
1997Testing and Locating Variance Changepoints with Application to Stock Prices338 cited
1975A Bayesian approach to inference about a change-point in a sequence of random variables320 cited
1974On the Stable Paretian Behavior of Stock-Market Prices230 cited
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1977Tests for Variance Shift at an Unknown Time Point132 cited
1994Weak Convergence of the Sequential Empirical Processes of Residuals in ARMA Models107 cited

Cited by

2016TESTING FOR CHANGES IN KENDALL’S TAU45 cited

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2011A new fluctuation test for constant variances with applications to finance34 cited

2014A nonparametric test for a constant correlation matrix31 cited

2013A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution26 cited

2017Change Point Analysis of Correlation in Non-stationary Time Series25 cited

2011A modified economic-statistical design of the T2control chart with variable sample sizes and control limits22 cited

2020Testing and estimating change-points in the covariance matrix of a high-dimensional time series22 cited

2015Change point analysis of second order characteristics in non-stationary time series18 cited

2020Change-point methods for multivariate time-series: paired vectorial observations15 cited

2016Dating multiple change points in the correlation matrix12 cited

2012Testing for Changes in the Rank Correlation of Time Series12 cited

2020Robust multivariate change point analysis based on data depth11 cited