Changepoint in Dependent and Non-Stationary Panels
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F20%3A00524844" target="_blank" >RIV/67985807:_____/20:00524844 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/20:10418297
Result on the web
<a href="http://dx.doi.org/10.1007/s00362-020-01180-6" target="_blank" >http://dx.doi.org/10.1007/s00362-020-01180-6</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00362-020-01180-6" target="_blank" >10.1007/s00362-020-01180-6</a>
Alternative languages
Result language
angličtina
Original language name
Changepoint in Dependent and Non-Stationary Panels
Original language description
Detection procedures for a change in means of panel data are proposed. Unlike classical inference tools used for the changepoint analysis in the panel data framework, we allow for mutually dependent and generally non-stationary panels with an extremely short follow-up period. Two competitive self-normalized test statistics are employed and their asymptotic properties are derived for a large number of available panels. The bootstrap extensions are introduced in order to handle such a universal setup. The novel changepoint methods are able to detect a common break point even when the change occurs immediately after the first time point or just before the last observation period. The developed tests are proved to be consistent. Their empirical properties are investigated through a simulation study. The invented techniques are applied to option pricing and non-life insurance.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GJ18-01781Y" target="_blank" >GJ18-01781Y: Dynamic and granular loss reserving with copulae - DaGLoRCo</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Statistical Papers
ISSN
0932-5026
e-ISSN
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Volume of the periodical
61
Issue of the periodical within the volume
4
Country of publishing house
US - UNITED STATES
Number of pages
23
Pages from-to
1385-1407
UT code for WoS article
000535153900001
EID of the result in the Scopus database
2-s2.0-85085348156