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Volumn 34, Issue 3, 2000, Pages 215-235

A local method for estimating change points: the "hat-function"

Author keywords

Change point estimation; More than one change; Test of existence of abrupt changes

Indexed keywords


EID: 0346107463     PISSN: 02331888     EISSN: None     Source Type: Journal    
DOI: 10.1080/02331880008802714     Document Type: Article
Times cited : (12)

References (17)
  • 1
    • 0003295009 scopus 로고
    • Procedures for the detection of multiple changes in series of independent observations
    • Physica Verlag
    • Antoch, J. and Huskova, M. (1994). Procedures for the detection of multiple changes in series of independent observations, In: Proc. of the 5th Prague Symposium on Asymptotic Statistics, Physica Verlag, pp. 3-20.
    • (1994) Proc. of the 5th Prague Symposium on Asymptotic Statistics , pp. 3-20
    • Antoch, J.1    Huskova, M.2
  • 2
    • 85037478475 scopus 로고    scopus 로고
    • It does not come easy, How to estimate the drift when volatility jumps and diffuses
    • Geneva, 26-28 June
    • Avesani, R. G. and Cefis, L. A., It does not come easy, How to estimate the drift when volatility jumps and diffuses, Conference Computing in Economics and Finance, Geneva, 26-28 June, 1996.
    • (1996) Conference Computing in Economics and Finance
    • Avesani, R.G.1    Cefis, L.A.2
  • 3
    • 0009994705 scopus 로고    scopus 로고
    • Does Volatility Jumps or Just Diffuses? A Statistical Approach
    • Talay, D. and Rogers, L. C. G. Editors, (Cambridge University Press)
    • Avesani, R. G. and Bertrand, P. (1997). Does Volatility Jumps or Just Diffuses? A Statistical Approach, In: Numerical Methods in Financial Mathematics, Talay, D. and Rogers, L. C. G. Editors, pp. 270-289 (Cambridge University Press).
    • (1997) Numerical Methods in Financial Mathematics , pp. 270-289
    • Avesani, R.G.1    Bertrand, P.2
  • 4
    • 0002822020 scopus 로고
    • Edge Detection Using Sequential Methods for Change in Level-Part II: Sequential Detection of Change in the Mean
    • ASSP.29
    • Basseville, M. (1981). Edge Detection Using Sequential Methods for Change in Level-Part II: Sequential Detection of Change in the Mean, IEEE Transactions on Acoustic, Speech, and Signal Processing, ASSP.29(1).
    • (1981) IEEE Transactions on Acoustic, Speech, and Signal Processing , Issue.1
    • Basseville, M.1
  • 7
    • 84949418742 scopus 로고
    • Detecting a change in distribution: A new asymptotic approach using averaging methods
    • de Cambry, O. and Genon-Catalot, V. (1992). Detecting a change in distribution: A new asymptotic approach using averaging methods, Statistic & Decision, 10, 389-403.
    • (1992) Statistic & Decision , vol.10 , pp. 389-403
    • De Cambry, O.1    Genon-Catalot, V.2
  • 8
    • 0010784053 scopus 로고
    • Influence in a simple change-point problem
    • Chen, X. (1988). Influence in a simple change-point problem, Scienta Sinica, A31, 654-667.
    • (1988) Scienta Sinica , vol.A31 , pp. 654-667
    • Chen, X.1
  • 11
    • 0002302475 scopus 로고
    • Off-line statistical Analysis of change-point models using non parametric and likelihood Methods, Chap. 5
    • Detection of Abrupt Changes in Signals and Dynamical Systems, (Springer Verlag)
    • Deshayes, J. and Picard, D. (1986). Off-line statistical Analysis of change-point models using non parametric and likelihood Methods, Chap. 5, In: Detection of Abrupt Changes in Signals and Dynamical Systems, Lecture Note in Control and Inf. Sc. 77 (Springer Verlag).
    • (1986) Lecture Note in Control and Inf. Sc. , vol.77
    • Deshayes, J.1    Picard, D.2
  • 12
    • 0011516970 scopus 로고
    • Nonparametric procedures for detecting a change in simple linear regression models
    • Huskova, M. (1993). Nonparametric procedures for detecting a change in simple linear regression models, J. of Applied Statistical Science, 1(4), 337-358.
    • (1993) J. of Applied Statistical Science , vol.1 , Issue.4 , pp. 337-358
    • Huskova, M.1
  • 17
    • 21144474527 scopus 로고
    • Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean
    • Srivastava, M. S. and Wu, Y. (1993). Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean, Ann. Stat., 21(2), 645-670.
    • (1993) Ann. Stat. , vol.21 , Issue.2 , pp. 645-670
    • Srivastava, M.S.1    Wu, Y.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.