Related papers: Testing for Change in Stochastic Volatility with L…
Electricity systems are experiencing increased effects of randomness and variability due to emerging stochastic assets. The increased effects introduce new uncertainties into power systems that can impact system operability and reliability.…
We propose generalized portmanteau-type test statistics in the frequency domain to test independence between two stationary time series. The test statistics are formed analogous to the one in Chen and Deo (2004, Econometric Theory 20,…
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data.…
This paper first establishes a strong law of large numbers and a strong invariance principle for forward and backward sums of near-epoch dependent sequences. Using these limiting theorems, we develop a general asymptotic theory on the Wald…
In a variety of different settings cumulative sum (CUSUM) procedures have been applied for the sequential detection of structural breaks in the parameters of stochastic models. Yet their performance depends strongly on the time of change…
Motivated by a neuroscience question about synchrony detection in spike train analysis, we deal with the independence testing problem for point processes. We introduce non-parametric test statistics, which are rescaled general…
This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the null hypothesis but exhibits change-points or becomes less…
Bistable biological regulatory systems need to cope with stochastic noise to fine-tune their function close to bifurcation points. Here, we study stability properties of this regime in generic systems to demonstrate that cooperative…
Non-stationarity of the rate or variance of events is a well-known problem in the description and analysis of time series of events, such as neuronal spike trains. A multiple filter test (MFT) for rate homogeneity has been proposed earlier…
In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance…
We find the asymptotic distribution of the sample autocovariances of long-memory processes in cases of finite and infinite fourth moment. Depending on the interplay of assumptions on moments and the intensity of dependence, there are three…
The problem of identifying change points in high-dimensional Gaussian graphical models (GGMs) in an online fashion is of interest, due to new applications in biology, economics and social sciences. The offline version of the problem, where…
A CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman's rho in arbitrary dimensions is proposed. Since the new test does not require the existence of any…
In this paper we propose a nonparametric procedure for validating the assumption of stationarity in multivariate locally stationary time series models. We develop a bootstrap assisted test based on a Kolmogorov-Smirnov type statistic, which…
Linear relations, containing measurement errors in input and output data, are considered. Parameters of these so-called errors-in-variables models can change at some unknown moment. The aim is to test whether such an unknown change has…
We present a purely deep neural network-based approach for estimating long memory parameters of time series models that incorporate the phenomenon of long-range dependence. Parameters, such as the Hurst exponent, are critical in…
The use of U-statistics in the change-point context has received considerable attention in the literature. We compare two approaches of constructing CUSUM-type change-point tests, which we call the first-vs-full and first-vs-last approach.…
This paper deals with the problem of testing for dispersion parameter change in discretely observed diffusion processes when the observations are contaminated by outliers. To lessen the impact of outliers, we first calculate residuals using…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
We address the stability problem for linear switching systems with mode-dependent restrictions on the switching intervals. Their lengths can be bounded as from below (the guaranteed dwell-time) as from above. The upper bounds make this…