Monitoring shifts in mean: Asymptotic normality of stopping times

Test

Volumn 17, Issue 3, 2008, Pages 515-530

  Aue, Alexander ^a   Horváth, Lajos ^b   Kokoszka, Piotr ^c   Steinebach, Josef ^d  

^a CLEMSON UNIVERSITY   (United States)

^b UNIVERSITY OF UTAH   (United States)

^c UTAH STATE UNIVERSITY   (United States)

^d UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Asymptotic normality; Change in the mean; CUSUM; Sequential detection

Indexed keywords

EID: 57649158235     PISSN: 11330686     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11749-006-0041-7     Document Type: Article

References (21)

1. DWK Andrews JC Monahan 1992 An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator Econometrica 60 953 966
2. A Aue 2006 Testing for parameter stability in RCA(1) time series J Stat Plan Inference 136 3070 3089
3. A Aue L Horváth 2004 Delay time in sequential detection of change Stat Probab Lett 67 221 231
4. A Aue I Berkes L Horváth 2006 Strong approximation for the sums of squares of augmented GARCH sequences Bernoulli 12 583 608
5. A Aue L Horváth M Hušková P Kokoszka 2006 Change-point monitoring in linear models Econom J 9 373 403
6. Basseville M, Nikiforov IV (1993) Detection of abrupt changes: theory and applications. Prentice Hall, Englewood Cliffs
7. I Berkes L Horváth P Kokoszka Q-M Shao 2005 Almost sure convergence of the Bartlett estimator Period Math Hung 51 11 25
8. I Berkes L Horváth P Kokoszka Q-M Shao 2006 On discriminating between long-range dependence and changes in mean Ann Stat 34 1140 1165
9. M Carrasco X Chen 2002 Mixing and moment properties of various GARCH and stochastic volatility models Econom Theory 18 17 39
10. C-SJ Chu M Stinchcombe H White 1996 Monitoring structural change Econometrica 64 1045 1065
11. Gencay R, Selcuk F, Whitcher B (2002) An introduction to wavelets and other filtering methods in finance and economics. Academic, San Diego
12. L Giraitis P Kokoszka R Leipus G Teyssiere 2003 Rescaled variance and related tests for long memory in volatility and levels J Econom 112 265 294
13. VV Gorodetskii 1977 On the strong mixing property for linear processes Theory Probab Appl 22 411 413
14. Gustafsson F (2000) Adaptive filtering and change detection. Wiley, New York
15. L Horváth M Hušková P Kokoszka J Steinebach 2004 Monitoring changes in linear models J Stat Plan Inference 126 225 251
16. Horváth L, Kokoszka P, Steinebach J (2007) On sequential detection of parameter changes in linear regression. Stat Probab Lett (forthcoming)
17. F Leisch K Hornik C-M Kuan 2000 Monitoring structural changes with the generalized fluctuation test Econom Theory 16 835 854
18. D Sul PCB Phillips C-Y Choi 2005 Prewhitening bias in HAC estimation Oxf Bull Econ Stat 67 517 546
19. CS Withers 1981 Conditions for linear processes to be strong-mixing Z Wahrsch Verwandte Geb 57 477 480
20. A Zeileis F Leisch C Kleiber K Hornik 2005 Monitoring structural change in dynamic econometric models J Appl Econom 20 99 121
21. Zhang A, Gabrys R, Kokoszka P (2006) Discriminating between long memory and volatility shifts. Preprint