4 papers
Estimating change points in nonparametric time series regression models
Maria Mohr, Leonie Selk
In this paper we consider a regression model that allows for time series covariates as well as heteroscedasticity with a regression function that is modelled nonparametrically. We…
Nonparametric volatility change detection
Maria Mohr, Natalie Neumeyer
We consider a nonparametric heteroscedastic time series regression model and suggest testing procedures to detect changes in the conditional variance function. The tests are based…
Consistent nonparametric change point detection combining CUSUM and marked empirical processes
Maria Mohr, Natalie Neumeyer
A weakly dependent time series regression model with multivariate covariates and univariate observations is considered, for which we develop a procedure to detect whether the nonpa…
A weak convergence result for sequential empirical processes under weak dependence
Maria Mohr
The purpose of this paper is to prove a weak convergence result for empirical processes indexed in general classes of functions and with an underlying -mixing sequence of random…