Change-Point Detection in Autoregressive Models with no Moment Assumptions
Author:
Affiliation:
1. Research Institute for Science and Engineering; Waseda University; Tokyo Japan
2. Fakultät für Mathematik; Ruhr-Universität Bochum; Bochum Germany
3. Department of Systems Science; Kyoto University; Kyoto Japan
Funder
Japan Society for the Promotion of Science
Waseda University
Deutsche Forschungsgemeinschaft
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12405/fullpdf
Reference29 articles.
1. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993
2. Structural breaks in time series;Aue;Journal of Time Series Analysis,2013
3. On the partial sums of residuals in autoregressive and moving average models;Bai;Journal of Time Series Analysis,1993
4. Convergence of the sequential empirical processes of residuals in ARMA models;Bai;Annals of Statistics,1994
5. Empirical likelihood for break detection in time series;Baragona;Electronic Journal of Statistics,2013
Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Quickest Change Detection in Autoregressive Models;IEEE Transactions on Information Theory;2024-07
2. Empirical likelihood method for detecting change points in network autoregressive models;AIMS Mathematics;2024
3. Parameter Changes in Time Series Models;Springer Series in Statistics;2023-12-11
4. Adaptive quantile computation for Brownian bridge in change-point analysis;Computational Statistics & Data Analysis;2022-03
5. Robust Test for Detecting Changes in the Autocovariance Function of a Time Series;Austrian Journal of Statistics;2020-04-13
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3