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}
}
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75 Citations
Highly Influential Citations
5
Background Citations
31
Methods Citations
15
Results Citations
1

75 Citations

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Detection of multiple change-points in multivariate time series

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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

  • B. IvanoffN. Weber
  • Mathematics, Economics
    Communications 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

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…

Convergence rates for estimating a change-point with long-range dependent sequences⁎

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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

  • D. RyabkoB. Ryabko
  • Mathematics, Computer Science
    IEEE 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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