Moving block bootstrapping for a CUSUM test for correlation change

2019 ◽  
Vol 135 ◽  
pp. 95-106
Author(s):  
Ji-Eun Choi ◽  
Dong Wan Shin
Keyword(s):  
Cusum Test

scholarly journals The Cusum Test for Parameter Change in Regression Models with ARCH Errors

2004 ◽  
Vol 34 (2) ◽  
pp. 173-188 ◽  
Author(s):  
Sangyeol Lee ◽  
Yasuyoshi Tokutsu ◽  
Koichi Maekawa
Keyword(s):  
Regression Models ◽  
Cusum Test ◽  
Parameter Change ◽  
Test For Parameter Change

scholarly journals DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS

2008 ◽  
Vol 24 (5) ◽  
pp. 1373-1403 ◽  
Author(s):  
Ioannis Kasparis
Keyword(s):  
Functional Form ◽  
Simulation Experiment ◽  
Cusum Test ◽  
Specification Test ◽  
Cumulative Sum ◽  
Finite Samples ◽  
Long Run ◽  
Simulation Results

A simple specification test based on fully modified residuals and the cumulative sum (CUSUM) test for cointegration of Xiao and Phillips (2002, Journal of Econometrics, 108, 43–61) are considered as means of testing for functional form in long-run cointegrating relations. It is shown that both tests are consistent under functional form misspecification and lack of cointegration. A simulation experiment is carried out to assess the properties of the tests in finite samples. The Dickey–Fuller test is also considered. The simulation results reveal that the first two tests perform reasonably well. However, the Dickey–Fuller test performs poorly under functional form misspecification.

MODE-SHAPES CORRELATION AND CUSUM TEST FOR ON-LINE FLUTTER MONITORING

2007 ◽  
Vol 40 (7) ◽  
pp. 206-211 ◽  
Author(s):  
Rafik Zouari ◽  
Laurent Mevel ◽  
Michèle Basseville
Keyword(s):  
Mode Shapes ◽  
Cusum Test ◽  
On Line

scholarly journals A modified CUSUM test to control postoutbreak false alarms

2019 ◽  
Vol 38 (11) ◽  
pp. 2047-2058
Author(s):  
Lauren M. Hall ◽  
Joshua P. French
Keyword(s):  
False Alarms ◽  
Cusum Test

scholarly journals Optimal Sequential Change Detection for Fractional Diffusion-Type Processes

2013 ◽  
Vol 50 (1) ◽  
pp. 29-41
Author(s):  
Alexandra Chronopoulou ◽  
Georgios Fellouris
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Abrupt Change ◽  
Fractional Diffusion ◽  
Hurst Index ◽  
Continuous Path ◽  
Cusum Test ◽  
Random Drift ◽  
Diffusion Type ◽  
Drift Term

The problem of detecting an abrupt change in the distribution of an arbitrary, sequentially observed, continuous-path stochastic process is considered and the optimality of the CUSUM test is established with respect to a modified version of Lorden's criterion. We apply this result to the case that a random drift emerges in a fractional Brownian motion and we show that the CUSUM test optimizes Lorden's original criterion when a fractional Brownian motion with Hurst index H adopts a polynomial drift term with exponent H+1/2.

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