# The change-point problem for dependent observations

@article{Giraitis1996TheCP, title={The change-point problem for dependent observations}, author={Liudas Giraitis and Remigijus Leipus and Donatas Surgailis}, journal={Journal of Statistical Planning and Inference}, year={1996}, volume={53}, pages={297-310} }

## 75 Citations

### Change-point tests under local alternatives for long-range dependent processes

- Mathematics
- 2015

We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and…

### Bootstrapping the empirical distribution of a stationary process with change-point

- MathematicsElectronic Journal of Statistics
- 2019

: When detecting a change-point in the marginal distribution of a stationary time series, bootstrap techniques are required to determine critical values for the tests when the pre-change distribution…

### Change-point detection in the marginal distribution of a linear process

- Mathematics
- 2016

: The subject of this paper is the detection of a change in the marginal distribution of a stationary linear process. By considering the marginal distribution, the change-point model can…

### Detection of multiple change-points in multivariate time series

- Mathematics
- 2006

We consider the multiple change-point problem for multivariate time series, including strongly dependent processes, with an unknown number of change-points. We assume that the covariance structure of…

### Asymptotics for the Sequential Empirical Process and Testing for Distributional Change for Stationary Linear Models

- Mathematics
- 2015

Detecting a change in the structure of a time series is a classical statistical problem. Here we consider a short memory causal linear process Xi = ∑∞ j=0 ajξi−j, i = 1, · · · , n, where the…

### Incorporating a change-point estimator when bootstrapping the empirical distribution of a stationary process

- Mathematics, EconomicsCommunications in Statistics - Theory and Methods
- 2020

Abstract The moving block bootstrap can be used to determine critical values for test statistics used to detect a change-point in the marginal distribution of a stationary time series. We examine the…

### Testing for Change in Stochastic Volatility with Long Range Dependence

- Mathematics
- 2016

In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under the…

### Testing for Change Points in Time Series

- Mathematics
- 2010

This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional Kolmogorov–Smirnov test statistic involves a…

### Nonparametric Statistical Inference for Ergodic Processes

- Mathematics, Computer ScienceIEEE Transactions on Information Theory
- 2010

In this work, a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the…

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