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Estimating change points in nonparametric time series regression models
15 references·0 citing·42 second hop
Estimating change points in nonparametric time series regression models (2020)Estimating change points in nonparametric…A MOSUM procedure for the estimation of multiple random change points (2017)A MOSUM procedure for the est…Wild binary segmentation for multiple change-point detection (2014)Wild binary segmentation for …Smooth change point estimation in regression models with random design (2014)Smooth change point estimatio…Detection of Changes in Multivariate Time Series With Application to EEG Data (2014)Detection of Changes in Multi…Testing for parameter stability in nonlinear autoregressive models (2012)Testing for parameter stabili…Non‐parametric detection and estimation of structural change (2012)Non‐parametric detection and …Bootstrapping confidence intervals for the change‐point of time series (2008)Bootstrapping confidence inte…Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences (2007)Optimal rate of convergence f…Nonparametric estimation of structural change points in volatility models for time series (2004)Nonparametric estimation of s…STRUCTURAL CHANGE IN AR(1) MODELS (2001)STRUCTURAL CHANGE IN AR(1) MO…Estimators for the Time of Change in Linear Models (1997)Estimators for the Time of Ch…Estimation of a Change Point in Multiple Regression Models (1997)Estimation of a Change Point …Effect of dependence on statistics for determination of change (1997)Effect of dependence on stati…LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)LEAST SQUARES ESTIMATION OF A…Convergence of changepoint estimators (1992)Convergence of changepoint es…Inference About the Change-Point in a Sequence of Random Variables (1970)The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity (2001)Do Police Reduce Crime? Estimates Using the Allocation of Police Forces After a Terrorist Attack (2004)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling and testing smooth structural changes with endogenous regressors (2014)Regression-based estimation of dynamic asset pricing models (2015)Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models (2017)Optimal Detection of Changepoints With a Linear Computational Cost (2012)Multiscale Change Point Inference (2014)On optimal multiple changepoint algorithms for large data (2016)High Dimensional Change Point Estimation via Sparse Projection (2017)Testing and estimating change-points in time series (1985)Nonparametric Methods in Change-Point Problems (1993)A comparison of single and multiple changepoint techniques for time series data (2022)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Chapter 12 Forecasting with Breaks (2006)Is the Chinese stock market really inefficient? (2011)WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Alternative models for conditional stock volatility (1990)Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes (2008)Estimation for the change point of volatility in a stochastic differential equation (2011)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Limit theorems in change-point analysis (1997)Break detection in the covariance structure of multivariate time series models (2009)Modified sequential change point procedures based on estimating functions (2018)Most Recent Changepoint Detection in Panel Data (2018)Data segmentation algorithms: Univariate mean change and beyond (2021)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Inference for Multiple Change Points in Time Series via Likelihood Ratio Scan Statistics (2015)Change-point detection in panel data via double CUSUM statistic (2016)The Asymptotic Behavior of Some Nonparametric Change-Point Estimators (1991)Change-point problem and bootstrap (1995)A note on studentized confidence intervals for the change-point (2009)Inference for single and multiple change-points in time series (2013)Bootstrap confidence intervals for multiple change points based on moving sum procedures (2022)Sample Splitting and Threshold Estimation (2000)Dealing with Structural Breaks (2005)
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References

  • 1997Estimation of a Change Point in Multiple Regression Models829 cited
  • 2014Wild binary segmentation for multiple change-point detection721 cited
  • 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES494 cited
  • 2017A MOSUM procedure for the estimation of multiple random change points144 cited
  • 2014Detection of Changes in Multivariate Time Series With Application to EEG Data90 cited
  • 2001STRUCTURAL CHANGE IN AR(1) MODELS84 cited
  • 1997Effect of dependence on statistics for determination of change70 cited
  • 2012Non‐parametric detection and estimation of structural change57 cited
  • 2004Nonparametric estimation of structural change points in volatility models for time series52 cited
  • 2008Bootstrapping confidence intervals for the change‐point of time series51 cited
  • 2007Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences44 cited
  • 2012Testing for parameter stability in nonlinear autoregressive models31 cited
  • 1992Convergence of changepoint estimators31 cited
  • 1997Estimators for the Time of Change in Linear Models22 cited
  • 2014Smooth change point estimation in regression models with random design

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