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Gradual variance change point detection with a smoothly changing mean trend
15 references·1 citing·42 second hop
Gradual variance change point detection with a smoothly changing mean trend (2020)Gradual variance change point detection w…Fréchet change-point detection (2020)Fréchet change-point detectionVariance Change Point Detection Under a Smoothly-Changing Mean Trend with Application to Liver Procurement (2018)Variance Change Point Detecti…Detecting gradual changes in locally stationary processes (2015)Detecting gradual changes in …Detecting Gradual Changes in Locally Stationary Processes (2014)Detecting Gradual Changes in …Optimal Detection of Changepoints With a Linear Computational Cost (2012)Optimal Detection of Changepo…A new fluctuation test for constant variances with applications to finance (2011)A new fluctuation test for co…Optimal changepoint estimation from indirect observations (2006)Optimal changepoint estimatio…Statistical inference for time-inhomogeneous volatility models (2004)Statistical inference for tim…Testing and Locating Variance Changepoints with Application to Stock Prices (1997)Testing and Locating Variance…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…CUSUM Control Charts Under Linear Drift (1992)CUSUM Control Charts Under Li…Ewma control chart under linear drift (1991)Ewma control chart under line…Rank Tests for Changepoint Problems (1987)Rank Tests for Changepoint Pr…Inference About the Change-Point in a Sequence of Random Variables (1970)Inference About the Change-Po…Change point analysis of functional variance function with stationary error (2024)Change point analysis of func…Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Journal of the American Statistical Association (1995)Bayesian Online Changepoint Detection (2007)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)Volatility in Emerging Stock Markets (1999)Parametric Statistical Change Point Analysis (2011)Wild binary segmentation for multiple change-point detection (2014)CONTINUOUS INSPECTION SCHEMES (1954)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Asymptotics for change-point models under varying degrees of mis-specification (2015)Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators (2021)Change-point analysis of time series with evolutionary spectra (2024)Properties of Sequences of Partial Sums of Polynomial Regression Residuals with Applications to Tests for Change of Regression at Unknown Times (1978)A Non-Parametric Approach to the Change-Point Problem (1979)SURVEY OF CLASSICAL AND BAYESIAN APPROACHES TO THE CHANGE-POINT PROBLEM: FIXED SAMPLE AND SEQUENTIAL PROCEDURES OF TESTING AND ESTIMATION11Research supported in part by ONR Contracts N00014-75-0725 at The George Washington University and N00014-81-K-0407 at SUNY-Binghamton. (1983)20 Nonparametric methods for changepoint problems (1988)On-Line Statistical Process Control (2002)Adaptive Detection of Multiple Change-Points in Asset Price Volatility (2006)A Test for a Change in a Parameter Occurring at an Unknown Point (1955)Estimation of a Change Point in Multiple Regression Models (1997)Book Review: Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)A guide to simulation (2nd ed.) (1986)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)MULTISCALE LOCAL CHANGE POINT DETECTION WITH APPLICATIONS TO VALUE-AT-RISK (2009)A Survey on Time-Varying Copulas: Specification, Simulations, and Application (2012)Limit theorems in change-point analysis (1997)The Emergence of Lowest‐Low Fertility in Europe During the 1990s (2002)Monitoring for a change point in a sequence of distributions (2021)Break point detection for functional covariance (2022)Practical and Powerful Kernel-Based Change-Point Detection (2024)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Change point analysis of second order characteristics in non-stationary time series (2015)Change Point Analysis of Correlation in Non-stationary Time Series (2017)Selection of estimation window in the presence of breaks (2006)A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)Structural breaks in time series (2012)
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References

  • 2012Optimal Detection of Changepoints With a Linear Computational Cost2,605 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,237 cited
  • 1970Inference About the Change-Point in a Sequence of Random Variables831 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
  • 1987Rank Tests for Changepoint Problems161 cited
  • 2004Statistical inference for time-inhomogeneous volatility models158 cited
  • 2020Fréchet change-point detection53 cited
  • 2015Detecting gradual changes in locally stationary processes48 cited
  • 2014Detecting Gradual Changes in Locally Stationary Processes47 cited
  • 1992CUSUM Control Charts Under Linear Drift39 cited
  • 2006Optimal changepoint estimation from indirect observations37 cited
  • 1991Ewma control chart under linear drift35 cited
  • 2011A new fluctuation test for constant variances with applications to finance34 cited
  • 2018Variance Change Point Detection Under a Smoothly-Changing Mean Trend with Application to Liver Procurement30 cited

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Cited by

  • 2024Change point analysis of functional variance function with stationary error6 cited