2 citations · 2 across the 4 of their papers we have counts for
4 papers
Online detection of distributional changes for time series in metric spaces
B. Cooper Boniece, Lajos Horváth, Lorenzo Trapani
We propose an online testing framework for detecting distributional changes in serially dependent data with values in a separable metric space. Based on two-sample -statistics,…
Sequential monitoring for distributional changepoints using degenerate U-statistics
B. Cooper Boniece, Lajos Horváth, Lorenzo Trapani
We investigate the online detection of changepoints in the distribution of a sequence of observations using a class of degenerate \textit{U}-statistic-type processes. We consider a…
Sequential monitoring for explosive volatility regimes
Lajos Horvath, Lorenzo Trapani, Shixuan Wang
In this paper, we develop two families of sequential monitoring procedure to (timely) detect changes in a GARCH(1,1) model. Whilst our methodologies can be applied for the general…
Real-time monitoring with RCA models
Lajos Horváth, Lorenzo Trapani
We propose a family of weighted statistics based on the CUSUM process of the WLS residuals for the online detection of changepoints in a Random Coefficient Autoregressive model, us…