We propose semiparametric CUSUM tests to detect a change-point in the correlation structures of nonlinear multivariate models with dynamically evolving volatilities. The asymptotic distributions of…
We propose a family of CUSUM-based statistics to detect the presence of changepoints in the deterministic part of the autoregressive parameter in a Random Coefficient Autoregressive (RCA) sequence.…
Many sequentially observed functional data objects are available only at the times of certain events. For example, the trajectory of stock prices of companies after their initial public offering (I…