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A strong convergence rate of estimator of variance change in linear processes and its applications
12 references·0 citing·43 second hop
A strong convergence rate of estimator of variance change in linear processes and its applications (2016)A strong convergence rate of estimator of…Structural breaks in time series (2012)Structural breaks in time ser…Ratio test to detect change in the variance of linear process (2010)Ratio test to detect change i…Testing for changes in the covariance structure of linear processes (2008)Testing for changes in the co…Strong convergence rate of estimators of change point and its application (2008)Strong convergence rate of es…An efficient algorithm for estimating a change-point (2008)An efficient algorithm for es…Change detection in autoregressive time series (2007)Change detection in autoregre…Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations (2006)Truncating Estimation for the…Change-of-variance problem for linear processes with long memory (2006)Change-of-variance problem fo…Change-Point Estimation in ARCH Models (2000)Change-Point Estimation in AR…Detection of multiple changes in a sequence of dependent variables (1999)Detection of multiple changes…ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES (1996)ESTIMATORS AND TESTS FOR CHAN…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Inference for single and multiple change‐points in time series (2013)A computationally efficient nonparametric approach for changepoint detection (2016)On optimal multiple changepoint algorithms for large data (2016)LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)Scaling behaviour in the dynamics of an economic index (1995)Limit theorems in change-point analysis (1997)The CUSUM statistics of change-point models based on dependent sequences (2021)On the Stable Paretian Behavior of Stock-Market Prices (1974)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Dealing with Structural Breaks (2005)Mean shift testing in correlated data (2011)Detecting Relevant Changes in Time Series Models (2015)Multiple change-point detection for non-stationary time series using Wild Binary Segmentation (2017)ARCH modeling in finance (1992)SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS (2004)Structural breaks and GARCH models of exchange rate volatility (2008)Extensions of some classical methods in change point analysis (2014)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing and estimating change-points in time series (1985)Monitoring parameter change in AR ( p ) time series models (2008)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)Statistics for Long-Memory Processes. (1996)Change-Point Estimation in Long Memory Nonparametric Models with Applications (2007)CHANGE‐POINT DETECTION WITH RANK STATISTICS IN LONG‐MEMORY TIME‐SERIES MODELS (2008)Detection of a change-point in variance by a weighted sum of powers of variances test (2018)Estimating the number of change-points via Schwarz' criterion (1988)Nonparametric Methods in Change-Point Problems (1993)Detection of Abrupt Changes: Theory and Applications. (1995)Detection of multiple change-points in multivariate time series (2006)The Power of the Pruned Exact Linear Time(PELT) Test in Multiple Changepoint Detection (2015)A heuristic, iterative algorithm for change-point detection in abrupt change models (2017)Off-Line Statistical Process Control (2002)Detecting the presence of insider trading via structural break tests (2011)
this work references cited by second hop

References

  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2012Structural breaks in time series444 cited
  • 2000Change-Point Estimation in ARCH Models238 cited
  • 1999Detection of multiple changes in a sequence of dependent variables231 cited
  • 2007Change detection in autoregressive time series112 cited
  • 2008Testing for changes in the covariance structure of linear processes75 cited
  • 1996ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES57 cited
  • 2008Strong convergence rate of estimators of change point and its application22 cited
  • 2006Change-of-variance problem for linear processes with long memory21 cited
  • 2010Ratio test to detect change in the variance of linear process10 cited
  • 2008An efficient algorithm for estimating a change-point10 cited
  • 2006Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations10 cited

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