Time series segmentation: A sliding window approach

Techniques for Testing the Constancy of Regression Relationships Over Time

R. L. Brown, J. Durbin, Jessica Evans · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1975 · 4.9K citations

Summary Methods, Engineering, Data Science +14

Tests for Parameter Instability and Structural Change With Unknown Change Point

Donald W. K. Andrews · Econometrica · 1993 · 4.3K citations

Engineering, Unknown Change Point, Economic Fluctuation +21

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

Volatility Modeling, Parameter Estimation, Engineering +12

Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

Donald W. K. Andrews, Werner Ploberger · Econometrica · 1994 · 2.5K citations

Testing Problem, Economics, Econometric Model +13

Convergence of Stochastic Processes.

Peter M. Robinson, David Pollard · Economica · 1985 · 2.2K citations

Engineering, Stochastic Analysis, Stochastic Phenomenon +18