The CUSUM Test for Detecting Structural Changes in Strong Mixing Processes

@article{Azizzadeh2012TheCT,
  title={The CUSUM Test for Detecting Structural Changes in Strong Mixing Processes},
  author={Fatemeh Azizzadeh and Saeid Rezakhah},
  journal={Communications in Statistics - Theory and Methods},
  year={2012},
  volume={43},
  pages={3733 - 3750}
}
Strong mixing property holds for a broad class of linear and nonlinear time series models such as Auto-Regressive Moving Average Processes and Generalized Auto-Regressive Conditional Heteroscedasticity Processes models. In this article, we study correlation structure of strong mixing sequences, and some asymptotic properties are presented. We also present a new method for detecting change point in correlation structure of strong mixing sequences, and present a nonparametric sequential analysis… 

A Two-Step Test for the Two-Sample Problem of Processes of Ornstein-Uhlenbeck Type

TLDR
The authors propose a two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type, which performs well in finite samples.

The asymptotic distribution of CUSUM estimator based on α-mixing sequences

In this paper, we consider the CUSUM estimator based on α-mixing sequences. By giving the consistency estimators for mean and covariance functions, the limit distribution of CUSUM estimator is pres...

00 PM-1 : 00 PM Direct Elicitation of Indirect Preferences

This paper re-examines the discrete choice methods and stated preference elicitation procedures that are commonly used in choice-based conjoint analysis. The aim is to clarify their domains of

Direct Elicitation of Indirect Preferences

This paper re-examines the discrete choice methods and stated preference elicitation procedures that are commonly used in choice-based conjoint analysis. The aim is to clarify their domains of

FOUNDATIONS OF STATED PREFERENCE ELICITATION CONSUMER CHOICE BEHAVIOR , MEASUREMENT OF CONSUMER WELFARE , AND CHOICE-BASED CONJOINT ANALYSIS

This paper re-examines the discrete choice methods and stated preference elicitation procedures that are commonly used in choice-based conjoint analysis. The aim is to clarify their domains of

Change detection in the mean of a white Gaussian process by the backward standardized sum

TLDR
The results conclude that the mean detection delay of the proposed method is shorter than that of the standard EWMA for the same Type I error probability.

References

SHOWING 1-10 OF 27 REFERENCES

Inference for Autocorrelations under Weak Assumptions

Abstract In this article we consider the large-sample behavior of estimates of autocorrelations and autoregressive moving average (ARMA) coefficients, as well as their distributions, under weak

The Cusum Test for Parameter Change in Time Series Models

Abstract.  In this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and

The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes

In this paper we consider the problem of testing for a scale change in the infinite order moving average process Xj=Σ∞i=0aiεj−i, where εj are i.i.d. r.v.s with Eε1α < ∞ for some α > 0. In performing

Testing for changes in the covariance structure of linear processes

Covariance changes detection in multivariate time series

The functional central limit theorem for strongly mixing processes

Let (XJi E 7l be a strictly stationary and strongly mixing sequence of Rd-valued zero-mean random variables. Let be the sequence of mixing coefficients. We define the strong mixing function a by and

Strong convergence rate of robust estimator of change point

A functional central limit theorem for strongly mixing sequences of random variables

SummaryWe prove a functional central limit theorem for a class of strongly mixing sequences of random variables. Stationarity is not assumed, but the variances of the partial sums must grow linearly.

Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Abstract This article studies the problem of multiple change points in the variance of a sequence of independent observations. We propose a procedure to detect variance changes based on an iterated

Inference for mean change-point in infinite variance AR(p) process