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Change Point Detection with Multivariate Observations Based on Characteristic Functions
16 references·1 citing·43 second hop
Change Point Detection with Multivariate Observations Based on Characteristic Functions (2017)Change Point Detection with Multivariate …Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models (2015)Bootstrap Procedures for Onli…Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks (2014)Structural vector autoregress…Extensions of some classical methods in change point analysis (2014)Extensions of some classical …Detection of Changes in Multivariate Time Series With Application to EEG Data (2014)Detection of Changes in Multi…A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data (2013)A Nonparametric Approach for …Monitoring changes in the error distribution of autoregressive models based on Fourier methods (2011)Monitoring changes in the err…Analysis of Financial Time Series (2010)Analysis of Financial Time Se…Structural Vector Autoregressions With Nonnormal Residuals (2009)Structural Vector Autoregress…Structural vector autoregressions with Markov switching (2009)Structural vector autoregress…Change Point Analysis based on Empirical Characteristic Functions (2006)Change Point Analysis based o…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN (2002)ANALYSIS OF VECTOR AUTOREGRES…Testing For and Dating Common Breaks in Multivariate Time Series (1998)Testing For and Dating Common…The variation of certain speculative prices (1997)The variation of certain spec…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Change Point Analysis for Functional Data Using Empirical Characteristic Functionals (2025)Change Point Analysis for Fun…CONTINUOUS INSPECTION SCHEMES (1954)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Testing for unit roots in heterogeneous panels (2003)High Dimensional Change Point Estimation via Sparse Projection (2017)Structural breaks in panel data: Large number of panels and short length time series (2018)Data segmentation algorithms: Univariate mean change and beyond (2021)Macroeconomics and Reality (1980)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS (2012)Inference in VARs with conditional heteroskedasticity of unknown form (2015)Volatility spillover shifts in global financial markets (2018)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Foreign Speculators and Emerging Equity Markets (2000)Has the Business Cycle Changed and Why? (2002)Selective review of offline change point detection methods (2019)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Structural vector autoregressions (2013)Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016)Identification and estimation of non-Gaussian structural vector autoregressions (2016)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Another look at measures of forecast accuracy (2006)Multivariate GARCH models: a survey (2006)Estimating the number of change-points via Schwarz' criterion (1988)Optimal Detection of Changepoints With a Linear Computational Cost (2012)ecp: AnRPackage for Nonparametric Multiple Change Point Analysis of Multivariate Data (2014)Wild binary segmentation for multiple change-point detection (2014)An Evaluation of Change Point Detection Algorithms (2020)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A model of carbon price interactions with macroeconomic and energy dynamics (2011)A gradient boosting method to improve travel time prediction (2015)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)
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References

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  • 1997The variation of certain speculative prices4,513 cited
  • 2006Analysis of Financial Time Series2,382 cited
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  • 2013A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data545 cited
  • 1998Testing For and Dating Common Breaks in Multivariate Time Series434 cited
  • 2009Structural vector autoregressions with Markov switching224 cited
  • 2014Extensions of some classical methods in change point analysis127 cited
  • 2014Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks121 cited
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  • 2014Detection of Changes in Multivariate Time Series With Application to EEG Data90 cited
  • 2006Change Point Analysis based on Empirical Characteristic Functions37 cited
  • 2011Monitoring changes in the error distribution of autoregressive models based on Fourier methods33 cited
  • 2002ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN

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31 cited
  • 2015Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models20 cited
  • Cited by

    • 2025Change Point Analysis for Functional Data Using Empirical Characteristic Functionals5 cited