Two Non-Parametric Tests For Change-Point Problems. IDOPT Project: It is a joint project of CNRS, INRIA, UJF and INPG

2002 ◽  
Vol 14 (1-2) ◽  
pp. 87-112 ◽  
Author(s):  
Gérard Grégoire ◽  
Zouhir Hamrouni
Keyword(s):  
Change Point ◽  
Joint Project ◽  
Non Parametric

scholarly journals Consistency of an Estimator for Change Point in Volatility of Financial Returns

2021 ◽  
Vol 13 (1) ◽  
pp. 56
Author(s):  
Josephine Njeri Ngure ◽  
Anthony Gichuhi Waititu
Keyword(s):  
Exchange Rate ◽  
Change Point ◽  
Point Estimation ◽  
Fourth Moment ◽  
Financial Returns ◽  
Test Statistic ◽  
Data Set ◽  
United States Dollar ◽  
Binary Segmentation ◽  
Non Parametric

A non parametric Auto-Regressive Conditional Heteroscedastic model for financial returns series is considered in which the conditional mean and volatility functions are estimated non-parametrically using Nadaraya Watson kernel. A test statistic for unknown abrupt change point in volatility which takes into consideration conditional heteroskedasticity, dependence, heterogeneity and the fourth moment of financial returns, since kurtosis is a function of the fourth moment is considered. The test is based on L2norm of the conditional variance functions of the squared residuals. A non-parametric change point estimator in volatility of financial returns is further obtained. The consistency of the estimator is shown theoretically and through simulation. An application of the estimator in change point estimation in volatility of United States Dollar/Kenya Shilling exchange rate returns data set is made. Through binary segmentation procedure, three change points in volatility of the exchange rate returns are estimated and further accounted for.

scholarly journals Non-Parametric Change-Point Method for Differential Gene Expression Detection

PLoS ONE ◽  
2011 ◽  
Vol 6 (5) ◽  
pp. e20060 ◽  
Author(s):  
Yao Wang ◽  
Chunguo Wu ◽  
Zhaohua Ji ◽  
Binghong Wang ◽  
Yanchun Liang
Keyword(s):  
Gene Expression ◽  
Differential Gene Expression ◽  
Change Point ◽  
Point Method ◽  
Parametric Change ◽  
Differential Gene ◽  
Non Parametric

Change-Point Detection With Non-Parametric Regression

Statistics ◽  
2002 ◽  
Vol 36 (1) ◽  
pp. 9-31 ◽  
Author(s):  
Lajos Orváth ◽  
Piotr Kokoszka
Keyword(s):  
Change Point ◽  
Change Point Detection ◽  
Parametric Regression ◽  
Point Detection ◽  
Non Parametric

Non-parametric Bayesian modeling of hazard rate with a change point for nanoelectronic devices

2012 ◽  
Vol 44 (7) ◽  
pp. 496-506 ◽  
Author(s):  
Chia-Han Yang ◽  
Tao Yuan ◽  
Way Kuo ◽  
Yue Kuo
Keyword(s):  
Bayesian Modeling ◽  
Change Point ◽  
Hazard Rate ◽  
Nanoelectronic Devices ◽  
Non Parametric
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