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Journal of the American Statistical Association Volume 108, 2013 - Issue 502
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Theory and Methods

Heteroscedasticity and Autocorrelation Robust Structural Change Detection

Zhou Zhou Department of Statistics, University of Toronto, 100 St. George Street, Toronto, Ontario, M5S 3G3, Canada
Pages 726-740 | Received 01 Dec 2011, Published online: 01 Jul 2013

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Cheuk Hin Cheng & Kin Wai Chan. (2024) A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests. Journal of Business & Economic Statistics 42:2, pages 719-731.
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Hau-Tieng Wu & Zhou Zhou. (2023) Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation. Journal of the American Statistical Association 0:0, pages 1-12.
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Fabian Mies. (2023) Functional Estimation and Change Detection for Nonstationary Time Series. Journal of the American Statistical Association 118:542, pages 1011-1022.
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Jun Yang & Zhou Zhou. (2022) Spectral Inference under Complex Temporal Dynamics. Journal of the American Statistical Association 117:537, pages 133-155.
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Ting Zhang & Liliya Lavitas. (2018) Unsupervised Self-Normalized Change-Point Testing for Time Series. Journal of the American Statistical Association 113:522, pages 637-648.
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Zhanfeng Wang, Wenxin Liu & Yuanyuan Lin. (2015) A change-point problem in relative error-based regression. TEST 24:4, pages 835-856.
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Zhou Zhou. (2015) Inference for Non-Stationary Time Series Regression With or Without Inequality Constraints. Journal of the Royal Statistical Society Series B: Statistical Methodology 77:2, pages 349-371.
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Zhou Zhou. (2014) Inference of weighted $V$-statistics for nonstationary time series and its applications. The Annals of Statistics 42:1.
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Dominik Wied, Gregor N. F. Weiss & Daniel Ziggel. (2015) Evaluating Value-at-Risk Forecasts: A New Set of Multivariate Backtests. SSRN Electronic Journal.
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