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math.ST2025
Self-Normalization for CUSUM-based Change Detection in Locally Stationary Time Series
Florian Heinrichs
A new bivariate partial sum process for locally stationary time series is introduced and its weak convergence to a Brownian sheet is established. This construction enables the deve…
math.ST2025
Sequential Outlier Detection in Non-Stationary Time Series
Florian Heinrichs, Patrick Bastian, Holger Dette
A novel method for sequential outlier detection in non-stationary time series is proposed. The method tests the null hypothesis of ``no outlier'' at each time point, addressing the…