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pro vyhledávání: '"Horváth, Lajos"'
In this paper, we develop two families of sequential monitoring procedure to (timely) detect changes in a GARCH(1,1) model. Whilst our methodologies can be applied for the general analysis of changepoints in GARCH(1,1) sequences, they are in particul
Externí odkaz:
http://arxiv.org/abs/2404.17885
Autor:
Horváth, Lajos, Trapani, Lorenzo
We propose a family of weighted statistics based on the CUSUM process of the WLS residuals for the online detection of changepoints in a Random Coefficient Autoregressive model, using both the standard CUSUM and the Page-CUSUM process. We derive the
Externí odkaz:
http://arxiv.org/abs/2312.11710
We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints, including the
Externí odkaz:
http://arxiv.org/abs/2310.04853
We consider the problem of detecting distributional changes in a sequence of high dimensional data. Our approach combines two separate statistics stemming from $L_p$ norms whose behavior is similar under $H_0$ but potentially different under $H_A$, l
Externí odkaz:
http://arxiv.org/abs/2207.08933
Autor:
Horvath, Lajos, Trapani, Lorenzo
We propose a family of CUSUM-based statistics to detect the presence of changepoints in the deterministic part of the autoregressive parameter in a Random Coefficient AutoRegressive (RCA) sequence. In order to ensure the ability to detect breaks at s
Externí odkaz:
http://arxiv.org/abs/2104.13440
Autor:
Horváth, Lajos, Rice, Gregory
The cumulative sum (CUSUM) process is often used in change point analysis to detect changes in the mean of sequentially observed data. We provide a full description of the asymptotic distribution of $L^p, 1\leq p <\infty$, functionals of the weighted
Externí odkaz:
http://arxiv.org/abs/2010.02476
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector and a suit
Externí odkaz:
http://arxiv.org/abs/2002.04101
Publikováno v:
In Journal of Multivariate Analysis November 2023 198
A new class of change point test statistics is proposed that utilizes a weighting and trimming scheme for the cumulative sum (CUSUM) process inspired by R\'enyi (1953). A thorough asymptotic analysis and simulations both demonstrate that this new cla
Externí odkaz:
http://arxiv.org/abs/1904.02250