3 citations · 3 across the 2 of their papers we have counts for
4 papers
Sequential monitoring for explosive volatility regimes
Lajos Horvath, Lorenzo Trapani, Shixuan Wang
In this paper, we develop two families of sequential monitoring procedure to (timely) detect changes in a GARCH(1,1) model. Whilst our methodologies can be applied for the general…
Fast Online Changepoint Detection
Fabrizio Ghezzi, Eduardo Rossi, Lorenzo Trapani
We study online changepoint detection in the context of a linear regression model. We propose a class of heavily weighted statistics based on the CUSUM process of the regression re…
On changepoint detection in functional data using empirical energy distance
B. Cooper Boniece, Lajos Horváth, Lorenzo Trapani
We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach…
Online Change-point Detection for Matrix-valued Time Series with Latent Two-way Factor Structure
Yong He, Xin-bing Kong, Lorenzo Trapani +1
This paper proposes a novel methodology for the online detection of changepoints in the factor structure of large matrix time series. Our approach is based on the well-known fact t…