251 citations · 746 across the 13 of their papers we have counts for
11 papers · 1 filter
A new class of change point test statistics of Rényi type
Lajos Horváth, Curtis Miller, Gregory Rice
A new class of change point test statistics is proposed that utilizes a weighting and trimming scheme for the cumulative sum (CUSUM) process inspired by Rényi (1953). A thorough as…
Estimation of the time of change in panel data
Lajos Horváth, Marie Hušková, Gregory Rice +1
We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the panels in the form of a common factor.…
Asymptotics of trimmed CUSUM statistics
István Berkes, Lajos Horváth, Johannes Schauer
There is a wide literature on change point tests, but the case of variables with infinite variances is essentially unexplored. In this paper we address this problem by studying the…
A test of significance in functional quadratic regression
Lajos Horváth, Ron Reeder
We consider a quadratic functional regression model in which a scalar response depends on a functional predictor; the common functional linear model is a special case. We wish to t…
Break detection in the covariance structure of multivariate time series models
Alexander Aue, Siegfried Hörmann, Lajos Horváth +1
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The…
Testing for changes in polynomial regression
Alexander Aue, Lajos Horváth, Marie Hušková +1
We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a b…