13 citations · 33 across the 8 of their papers we have counts for
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math.ST2021★ 3 cited
Change-Point Analysis of Time Series with Evolutionary Spectra
Alessandro Casini, Pierre Perron
This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the nul…
math.ST2018★ 13 cited
Generalized Laplace Inference in Multiple Change-Points Models
Alessandro Casini, Pierre Perron
Under the classical long-span asymptotic framework we develop a class of Generalized Laplace (GL) inference methods for the change-point dates in a linear time series regression mo…
math.ST2016
Testing for Common Breaks in a Multiple Equations System
Tatsushi Oka, Pierre Perron
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regr…