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Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
16 references·1 citing·42 second hop
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References

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  • 2007Financial Modeling Under Non-Gaussian Distributions278 cited
  • 2004Test of independence and randomness based on the empirical copula process272 cited
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  • 2003Monitoring changes in linear models193 cited
  • 2011Nonparametric Monitoring of Data Streams for Changes in Location and Scale193 cited
  • 2012Two Nonparametric Control Charts for Detecting Arbitrary Distribution Changes169 cited
  • 2005Statistical Process Control for Shifts in Mean or Variance Using a Changepoint Formulation151 cited
  • 1995Alarm rates for quality control charts85 cited
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  • 2011SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS59 cited
  • 2019A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters58 cited

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  • 2015A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing56 cited
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    • 2014npcp: Some Nonparametric CUSUM Tests for Change-Point Detection in Possibly Multivariate Observations9 cited