Detection of multiple changes in a sequence of dependent variables
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References listed on IDEAS
- Yao, Yi-Ching, 1988. "Estimating the number of change-points via Schwarz' criterion," Statistics & Probability Letters, Elsevier, vol. 6(3), pages 181-189, February.
- Kim, H. J., 1994. "Likelihood Ratio and Cumulative Sum Tests for a Change-Point in Linear Regression," Journal of Multivariate Analysis, Elsevier, vol. 51(1), pages 54-70, October.
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- Elena Andreou, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 2(2), pages 290-318.
- Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
- Piet Jong & Sonia Mazzi, 2001. "Modeling and Smoothing Unequally Spaced Sequence Data," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 53-71, January.
- Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
- Shi, Xiaoping & Wu, Yuehua & Miao, Baiqi, 2009. "Strong convergence rate of estimators of change point and its application," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 990-998, February.
- Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
- Chen, Shuo & Hong, Don & Shyr, Yu, 2007. "Wavelet-based procedures for proteomic mass spectrometry data processing," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 211-220, September.
- Mohamed Boutahar & Mustapha Belkhouja, 2007. "Le Changement Structurel Dans Un Environnement Mémoire Longue," Working Papers halshs-00352610, HAL.
- Gabriela Ciuperca, 2011. "Estimating nonlinear regression with and without change-points by the LAD method," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(4), pages 717-743, August.
- Pan, Jianmin & Chen, Jiahua, 2006. "Application of modified information criterion to multiple change point problems," Journal of Multivariate Analysis, Elsevier, vol. 97(10), pages 2221-2241, November.
More about this item
KeywordsDetection of change-points Minimum contrast estimator Penalized minimum contrast estimator Strongly mixing processes Strongly dependent processes;
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