Related papers: Testing for breaks in variance structures with smo…

Tests for break points detection in the law of random vectors have been proposed in several papers. Nevertheless, they have often little powers for alternatives involving a change in the dependence between components of vectors. Specific…

In environmental sciences, it is often of interest to assess whether the dependence between extreme measurements has changed during the observation period. The aim of this work is to propose a statistical test that is particularly sensitive…

In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…

We analyze different data of the variation of the fine structure constant obtained with different methods to check their consistency.We test consistency using the modified Student test and confidence intervals. We split the data sets in…

This paper deals with analyzing structural breaks in the covariance operator of sequentially observed functional data. For this purpose, procedures are developed to segment an observed stretch of curves into periods for which second-order…

In this paper we introduce a novel approach for an important problem of break detection. Specifically, we are interested in detection of an abrupt change in the covariance structure of a high-dimensional random process -- a problem, which…

Quantifying uncertainty in detected changepoints is an important problem. However it is challenging as the naive approach would use the data twice, first to detect the changes, and then to test them. This will bias the test, and can lead to…

The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null…

This chapter covers methodological issues related to estimation, testing and computation for models involving structural changes. Our aim is to review developments as they relate to econometric applications based on linear models.…

A novel method is proposed for detecting changes in the covariance structure of moderate dimensional time series. This non-linear test statistic has a number of useful properties. Most importantly, it is independent of the underlying…

We propose a new nonparametric procedure for the detection and estimation of multiple structural breaks in the autocovariance function of a multivariate (second- order) piecewise stationary process, which also identifies the components of…

Statistical inference for stochastic processes with time-varying spectral characteristics has received considerable attention in recent decades. We develop a nonparametric test for stationarity against the alternative of a smoothly…

We propose a test for a change in the mean for a sequence of functional observations that are only partially observed on subsets of the domain, with no information available on the complement. The framework accommodates important scenarios,…

We consider detection and localization of an abrupt break in the covariance structure of high-dimensional random data. The paper proposes a novel testing procedure for this problem. Due to its nature, the approach requires a properly chosen…

Testing for stability in linear panel data models has become an important topic in both the statistics and econometrics research communities. The available methodologies address testing for changes in the mean/linear trend, or testing for…

In this paper, we study the stability of commonly used filtration functions in topological data analysis under small perturbations of the underlying nonrandom point cloud. Relying on these stability results, we then develop a test procedure…

There exist several methods developed for the canonical change point problem of detecting multiple mean shifts, which search for changes over sections of the data at multiple scales. In such methods, estimation of the noise level is often…

A factor model with a break in its factor loadings is observationally equivalent to a model without changes in the loadings but a change in the variance of its factors. This effectively transforms a structural change problem of high…

In this review we discuss the progress of the past decade in testing for a possible temporal variation of the fine structure constant $\alpha$. Advances in atomic sample preparation, laser spectroscopy and optical frequency measurements led…

We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic…