Related papers: Change point analysis in non-stationary processes …
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…
We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect general multiple structural changes in the tails of marginal…
Information in the time distribution of points in a state space reconstructed from observed data yields a test for ``nonstationarity''. Framed in terms of a statistical hypothesis test, this numerical algorithm can discern whether some…
Motivated by an example from remote sensing of gas emission sources, we derive two novel change point procedures for multivariate time series where, in contrast to classical change point literature, the changes are not required to be…
We study two nonparametric tests of the hypothesis that a sequence of independent observations is identically distributed against the alternative that at a single change point the distribution changes. The tests are based on the Cramer-von…
Most studies in real time change-point detection either focus on the linear model or use the CUSUM method under classical assumptions on model errors. This paper considers the sequential change-point detection in a nonlinear quantile model.…
For a spatiotemporal process $\{X_j(s,t) | ~s \in S~,~t \in T \}_{j =1, \ldots , n} $, where $S$ denotes the set of spatial locations and $T$ the time domain, we consider the problem of testing for a change in the sequence of mean…
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.…
In this paper, two tests, based on CUSUM of the residuals and least squares estimation, are studied to detect in real time a change-point in a nonlinear model. A first test statistic is proposed by extension of a method already used in the…
We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and Cram\'{e}r-von Mises type statistics are…
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…
We derive tests of stationarity for univariate time series by combining change-point tests sensitive to changes in the contemporary distribution with tests sensitive to changes in the serial dependence. The proposed approach relies on a…
Stabilization of non-stationary linear systems over noisy communication channels is considered. Stochastically stable sources, and unstable but noise-free or bounded-noise systems have been extensively studied in information theory and…
This note investigates the stability of both linear and nonlinear switched systems with average dwell time. Two new analysis methods are proposed. Different from existing approaches, the proposed methods take into account the sequence in…
In this paper, the development of a mathematical method is presented to explore spatially non-uniform phases with no long-range order in mathematical models of first order phase transitions. We use essential results regarding the…
Many time series exhibit changes both in level and in variability. Generally, it is more important to detect a change in the level, and changing or smoothly evolving variability can confound existing tests. This paper develops a framework…
We consider the time-dependent nonlinear system $\dot q(t)=u(t)X(q(t))+(1-u(t))Y(q(t))$, where $q\in\R^2$, $X$ and $Y$ are two %$C^\infty$ smooth vector fields, globally asymptotically stable at the origin and $u:[0,\infty)\to\{0,1\}$ is an…
Assessment of the degree of boundedness/stability of multidimensional nonlinear systems with time-dependent and nonperiodic coefficients is an important problem in various applied areas which has no adequate resolution yet. Most of the…
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…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…