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Optimal difference-based variance estimators in time series: A general framework
16 references·0 citing·44 second hop
Optimal difference-based variance estimators in time series: A general framework (2022)Optimal difference-based variance estimat…Multiscale change point detection for dependent data (2020)Multiscale change point detec…A robust method for shift detection in time series (2020)A robust method for shift det…Nuisance-parameter-free changepoint detection in non-stationary series (2019)Nuisance-parameter-free chang…Detecting relevant changes in the mean of nonstationary processes—A mass excess approach (2019)Detecting relevant changes in…Variance Change Point Detection Under a Smoothly-Changing Mean Trend with Application to Liver Procurement (2018)Variance Change Point Detecti…Unsupervised Self-Normalized Change-Point Testing for Time Series (2017)Unsupervised Self-Normalized …Change point detection in heteroscedastic time series (2017)Change point detection in het…HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (2011)HIGHER-ORDER ACCURATE, POSITI…Tests for changing mean with monotonic power (2008)Tests for changing mean with …Nonmonotonic power for tests of a mean shift in a time series (2007)Nonmonotonic power for tests …Strong rules for detecting the number of breaks in a time series (2003)Strong rules for detecting th…Isotonic regression: Another look at the changepoint problem (2001)Isotonic regression: Another …Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes (1999)Testing for Changes in Multiv…Optimal Mean-Squared-Error Batch Sizes (1995)Optimal Mean-Squared-Error Ba…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…On the relationship between batch means, overlapping means and spectral estimation (1987)On the relationship between b…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)The limit distribution of the estimates in cointegrated regression models with multiple structural changes (2008)Break in the Mean and Persistence of Inflation: A Sectoral Analysis of French CPI (2010)Optimal forecasts in the presence of structural breaks (2013)Principles of Discrete Event Simulation (1979)Principles of Discrete Event Simulation. (1980)Overlapping batch means: something for nothing? (1984)Variance of the Sample Mean: Properties and Graphs of Quadratic-Form Estimators (1993)Statistical selection of the best system (2005)Overlapping Variance Estimators for Simulation (2007)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Powerful tests for structural changes in volatility (2012)Testing for structural change under non‐stationary variances (2015)A spectral method for confidence interval generation and run length control in simulations (1981)Batch Size Effects in the Analysis of Simulation Output (1982)Confidence Interval Estimation Using Standardized Time Series (1983)Large-Sample Results for Batch Means (1997)Convergence Properties of the Batch Means Method for Simulation Output Analysis (2001)Ranking and Selection for Steady-State Simulation: Procedures and Perspectives (2002)Time Series Regression with a Unit Root (1987)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing for factor loading structural change under common breaks (2015)Some aspects of change-point analysis (1994)Surveillance of a Simple Linear Regression (2003)On the Online Detection of Monotonic Trends in Time Series (2004)Regime change analysis of interval-valued time series with an application to PM10 (2015)20 Nonparametric methods for changepoint problems (1988)The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations (1993)Testing for a Change in the Parameter Values and Order of an Autoregressive Model (1995)Breaking down the non-normality of stock returns (2009)Detecting gradual changes in locally stationary processes (2015)Detecting Relevant Changes in Time Series Models (2015)Automatic Lag Selection in Covariance Matrix Estimation (1994)Modelling Extremal Events (1997)Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2004)Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices (2015)Estimating the number of change-points via Schwarz' criterion (1988)Structural breaks in time series (2012)Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features (2019)High dimensional change point inference: Recent developments and extensions (2021)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1995Optimal Mean-Squared-Error Batch Sizes174 cited
  • 2003Strong rules for detecting the number of breaks in a time series117 cited
  • 2011HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES112 cited
  • 2001Isotonic regression: Another look at the changepoint problem93 cited
  • 1999Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes85 cited
  • 1987On the relationship between batch means, overlapping means and spectral estimation78 cited
  • 2017Unsupervised Self-Normalized Change-Point Testing for Time Series53 cited
  • 2008Tests for changing mean with monotonic power52 cited
  • 2007Nonmonotonic power for tests of a mean shift in a time series47 cited
  • 2020Multiscale change point detection for dependent data41 cited
  • 2017Change point detection in heteroscedastic time series36 cited
  • 2019Detecting relevant changes in the mean of nonstationary processes—A mass excess approach35 cited
  • 2019Nuisance-parameter-free changepoint detection in non-stationary series32 cited
  • 2018Variance Change Point Detection Under a Smoothly-Changing Mean Trend with Application to Liver Procurement

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  • 2020A robust method for shift detection in time series28 cited
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