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Detection of Changes in Linear Sequences

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  • Lajos Horváth

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  • Lajos Horváth, 1997. "Detection of Changes in Linear Sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(2), pages 271-283, June.
    • Handle: RePEc:spr:aistmt:v:49:y:1997:i:2:p:271-283
    DOI: 10.1023/A:1003110912735
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    References listed on IDEAS

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    1. Jushan Bai, 1994. "Least Squares Estimation Of A Shift In Linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 453-472, September.
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    Cited by:

    1. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
    2. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
    3. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
    4. Kühn, Christoph, 2001. "An estimator of the number of change points based on a weak invariance principle," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 189-196, January.
    5. Kokoszka, Piotr & Leipus, Remigijus, 1998. "Change-point in the mean of dependent observations," Statistics & Probability Letters, Elsevier, vol. 40(4), pages 385-393, November.
    6. Aue, Alexander, 2004. "Strong approximation for RCA(1) time series with applications," Statistics & Probability Letters, Elsevier, vol. 68(4), pages 369-382, July.

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