251 citations · 746 across the 13 of their papers we have counts for
4 papers · 1 filter
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…
Ratio tests for change point detection
Lajos Horváth, Zsuzsanna Horváth, Marie Hušková
We propose new tests to detect a change in the mean of a time series. Like many existing tests, the new ones are based on the CUSUM process. Existing CUSUM tests require an estimat…
Sample autocovariances of long-memory time series
Lajos Horváth, Piotr Kokoszka
We find the asymptotic distribution of the sample autocovariances of long-memory processes in cases of finite and infinite fourth moment. Depending on the interplay of assumptions…
Selection from a stable box
Alexander Aue, István Berkes, Lajos Horváth
Let be independent, identically distributed random variables. It is well known that the functional CUSUM statistic and its randomly permuted version both converge weakly…