Change point analysis based on empirical characteristic functions : Empirical characteristic functions

Metrika

Volumn 63, Issue 2, 2006, Pages 145-168

  Hušková, Marie ^a,b   Meintanis, Simos G ^c  

^a CHARLES UNIVERSITY   (Czech Republic)

^b INSTITUTE OF INFORMATION THEORY AND AUTOMATION   (Czech Republic)

^c UNIVERSITY OF ATHENS   (Greece)

Author keywords

Change point analysis; Empirical characteristic function

Indexed keywords

EID: 33645325377     PISSN: 00261335     EISSN: 1435926X     Source Type: Journal    
DOI: 10.1007/s00184-005-0008-9     Document Type: Article

References (21)

1. Antoch J, Hušková M (2001) Permutation tests for change point analysis. Stat Probab Lett 53:37-46
2. Antoch J, Hušková M, Jarušková D (2001) Off-line quality control. In: Lauro NC et al. (eds) Multivariate total quality control: foundation and recent advances. Springer, Berlin Heidelberg New York, pp 1-86
3. Chow YS, Teicher H (1988) Probability theory. Springer, Berlin Heidelberg, New York
4. Csörgo M, Horváth L (1997) Limit theorems in change-point analysis. J. Wiley, New York
5. Csörgo S (1985a) Testing for independence by the empirical characteristic function. J Multiv Anal 16:290-299
6. Csörgo S (1985b) Testing for linearity. Stat Probab Lett 3:45-49
7. de la Peňa VH, Giné E (1999) Decoupling. From dependence to independence. Springer, Berlin Heidelberg New York
8. Epps T, Pulley L (1983) A test for normality based on the empirical characteristic function. Biometrika 70:723-726
9. Epps T (1999) Limit behaviour of the ICF test for normality under Gram-Charlier alternatives. Stat Probab Lett 42:175-184
10. Heathcote CR (1972) A test for goodness of fit for symmetric random variables. Aust J Stat 14:172-181
11. Hušková M (2003) Permutation principle and bootstrap in change point analysis. In: Horváth L, Szyszkowicz B (eds) Asymptotic methods in stochastics, vol 44. Fields Institute Communications, pp 273-291
12. Gürtler N, Henze N (2000) Goodness-of-fit tests for the Cauchy distribution based on the empirical characteristic function. Ann Inst Stat Math 52:267-286
13. Kankainen A, Ushakov NG (1998) A consistent modification of a test for independence based on the empirical characteristic function. J Math Sci 89:1486-1494
14. Koutrouvelis IA (1980a) Regression-type estimation of the parameters of stable laws. J Amer Stat Assoc 75:918-928
15. Koutrouvelis IA (1980b) A goodness of fit test for simple hypotheses based on the empirical characteristic function. Biometrika 67:238-240
16. Koutrouvelis IA, Meintanis S (1999) Testing for stability based on the empirical characteristic function with applications to financial data. J Stat Comput Simul 64:275-300
17. Lehmann EL (1991) Testing statistical hypotheses. Wadsworth & Brooks/Cole, California
18. Meintanis S (2005) Permutation tests for homogeneity based on the empirical characteristic function. J Nonparametric Stat 17: 583-592
19. Press SJ (1972) Estimation in univariate and multivariate stable distributions. J Amer Stat Assoc 67:842-846
20. Serfling R (1980) Approximation theorems of mathematical statistics. Wiley, New York
21. Ushakov NG (1999) Selected topics in characteristic functions. VSP, Utrecht