On the cusum of squares test for variance change in nonstationary and nonparametric time series models
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DOI: 10.1007/BF02517801
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References listed on IDEAS
- Wu, J. S. & Chu, C. K., 1994. "Nonparametric estimation of a regression function with dependent observations," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 149-160, March.
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Cited by:
- Marco Barassi & Lajos Horváth & Yuqian Zhao, 2020.
"Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 340-349, April.
- Barassi, Marco & Horvath, Lajos & Zhao, Yuqian, 2018. "Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," MPRA Paper 87837, University Library of Munich, Germany.
- Lee, Sangyeol, 2013. "A maximum entropy type test of fit: Composite hypothesis case," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 59-67.
- Berenguer-Rico, Vanessa & Nielsen, Bent, 2020.
"Cumulated Sum Of Squares Statistics For Nonlinear And Nonstationary Regressions,"
Econometric Theory, Cambridge University Press, vol. 36(1), pages 1-47, February.
- Vanessa Berenguer-Rico & Bent Nielsen, 2015. "Cumulated sum of squares statistics for non-linear and non-stationary regressions," Economics Papers 2015-W09, Economics Group, Nuffield College, University of Oxford.
- Na, Okyoung & Lee, Sangyeol, 2007. "Moving estimates test with time varying bandwidth," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1356-1375, August.
- Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña Sánchez de Rivera, Daniel, 2013. "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS ws131718, Universidad Carlos III de Madrid. Departamento de Estadística.
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Keywords
Cusum of squares test; variance change; autoregressive model with unit roots; nonparametric regression model; strong mixing process; weak convergence; Brownian bridge;All these keywords.
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