Frequencies of the number of breaks estimated after 100 replications for GARCH(1, 1) processes with n = 1000 following the scenarios A, 2008. ,
Break detection in the covariance structure of multivariate time series models, Ann. Statist, vol.37, pp.4046-4087, 2009. ,
Change-point monitoring in linear models, The Econometrics Journal, vol.26, issue.3, pp.373-403, 2006. ,
DOI : 10.2307/2281745
ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES, Econometric Theory, vol.37, issue.02, pp.411-441, 2009. ,
DOI : 10.2307/2288196
Delay times of sequential procedures for multiple time series regression models, Journal of Econometrics, vol.149, issue.2, pp.174-190, 2009. ,
DOI : 10.1016/j.jeconom.2008.12.018
Break detection in the covariance structure of multivariate time series models, The Annals of Statistics, vol.37, issue.6B, pp.4046-4087, 2009. ,
DOI : 10.1214/09-AOS707
ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS, Journal of Time Series Analysis, vol.8, issue.3, pp.247-260, 1993. ,
DOI : 10.1214/aoms/1177704472
Estimating and Testing Linear Models with Multiple Structural Changes, Econometrica, vol.66, issue.1, pp.47-78, 1998. ,
DOI : 10.2307/2998540
Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes, The Annals of Statistics, vol.37, issue.5B, pp.2730-2759, 2009. ,
DOI : 10.1214/08-AOS674
URL : https://hal.archives-ouvertes.fr/hal-00193955
Multiple breaks detection in general causal time series using penalized quasi-likelihood, Electronic Journal of Statistics, vol.6, issue.0, pp.435-477, 2012. ,
DOI : 10.1214/12-EJS680
Monitoring procedure for parameter change in causal time series, Journal of Multivariate Analysis, vol.125 ,
DOI : 10.1016/j.jmva.2013.12.004
URL : https://hal.archives-ouvertes.fr/hal-00734210
Detection of Abrupt Changes : Theory and Applications, 1993. ,
Slope heuristics: overview and implementation, Statistics and Computing, vol.6, issue.2, p.7223, 2010. ,
DOI : 10.1007/s11222-011-9236-1
URL : https://hal.archives-ouvertes.fr/hal-00461639
GARCH processes: structure and estimation, Bernoulli, vol.9, issue.2, pp.201-227, 2003. ,
DOI : 10.3150/bj/1068128975
Sequential changepoint detection in GARCH(p,q) models, Econometr Theory, vol.20, pp.1140-1167, 2004. ,
Testing for parameter constancy in GARCH() models, Statistics & Probability Letters, vol.70, issue.4, pp.263-273, 2004. ,
DOI : 10.1016/j.spl.2004.10.010
Almost sure convergence of the Bartlett estimator, Periodica Mathematica Hungarica, vol.51, issue.1, pp.11-25, 2005. ,
DOI : 10.1007/s10998-005-0017-5
On discriminating between long-range dependence and changes in mean, The Annals of Statistics, vol.34, issue.3, pp.1140-1165, 2006. ,
DOI : 10.1214/009053606000000254
Convergence of Probability Measures, 1968. ,
DOI : 10.1002/9780470316962
Minimal penalties for Gaussian model selection. Probab. Theory Related Fields, pp.33-73, 2007. ,
URL : https://hal.archives-ouvertes.fr/hal-00141376
Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, issue.3, pp.31-307, 1986. ,
DOI : 10.1016/0304-4076(86)90063-1
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.161.7380
Techniques for testing the constancy of regression relationships over time, Journal of Royal Statistical Society B, vol.37, pp.149-192, 1975. ,
A martingale inequality and the law of large numbers, Proceedings of the American Mathematical Society, vol.11, issue.1, pp.107-111, 1960. ,
DOI : 10.1090/S0002-9939-1960-0112190-3
Monitoring Structural Change, Econometrica, vol.64, issue.5, pp.1045-1065, 1996. ,
DOI : 10.2307/2171955
Testing for a Change in the Parameter Values and Order of an Autoregressive Model, The Annals of Statistics, vol.23, issue.1, pp.282-304, 1995. ,
DOI : 10.1214/aos/1176324468
Break Detection for a Class of Nonlinear Time Series Models, Journal of Time Series Analysis, vol.75, issue.5, pp.834-867, 2008. ,
DOI : 10.1111/j.1467-9892.2008.00585.x
Modelisation et prevision des debits naturels journaliers du b.v.i. de la sanaga a la station de contrôle de songmbengue, Mémoire de Master de statistique, 2006. ,
Weakly dependent chains with infinite memory. Stochastic Process, Appl, vol.118, pp.1997-2013, 2008. ,
URL : https://hal.archives-ouvertes.fr/hal-00199890
Méthodes récursives aléatoires, English Edition, 1990. ,
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes, Bernoulli, vol.10, issue.4, pp.605-637, 2004. ,
DOI : 10.3150/bj/1093265632
BaSTA : consistent multiscale multiple change-point detection for piecewise-stationary ARCH processes, Preprint, 2010. ,
Inference about the change-point in a sequence of random variables, Biometrika, vol.57, issue.1, pp.1-17, 1970. ,
DOI : 10.1093/biomet/57.1.1
Change in autoregressive processes. Stochastic Processes, Appl, vol.44, pp.221-242, 1993. ,
Ratio tests for change point detection, Inst. Math. Stat, vol.1, pp.293-304, 2008. ,
DOI : 10.1214/193940307000000220
Monitoring changes in linear models, Journal of Statistical Planning and Inference, vol.126, issue.1, pp.225-251, 2004. ,
DOI : 10.1016/j.jspi.2003.07.014
On the detection of changes in autoregressive time series I. Asymptotics, Journal of Statistical Planning and Inference, vol.137, issue.4, pp.1243-1259, 2007. ,
DOI : 10.1016/j.jspi.2006.02.010
On the detection of changes in autoregressive time series, II. Resampling procedures, Journal of Statistical Planning and Inference, vol.138, issue.6, pp.1697-1721, 2008. ,
DOI : 10.1016/j.jspi.2007.06.029
Use of cumulative sums of squares for retrospective detection of changes of variance, Journal of the American Statistical Association, vol.89, pp.913-923, 1994. ,
STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS, Econometric Theory, vol.14, issue.01, pp.70-86, 1998. ,
DOI : 10.1017/S0266466698141038
Testing for parameter constancy in general causal time-series models, Journal of Time Series Analysis, vol.105, issue.6B, pp.503-518, 2012. ,
DOI : 10.1111/j.1467-9892.2012.00785.x
URL : https://hal.archives-ouvertes.fr/hal-00561015
K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests, The Annals of Mathematical Statistics, vol.30, issue.2, pp.420-447, 1959. ,
DOI : 10.1214/aoms/1177706261
On the Cusum test for parameter changes in garch(1,1) Models, Communications in Statistics - Theory and Methods, vol.29, issue.2, pp.445-462, 2000. ,
DOI : 10.1214/aos/1176349042
On Conditional Least Squares Estimation for Stochastic Processes, The Annals of Statistics, vol.6, issue.3, pp.629-642, 1978. ,
DOI : 10.1214/aos/1176344207
Testing for parameter changes in ARCH models, Lithuanian Mathematical Journal, vol.8, issue.2, pp.182-195, 1999. ,
DOI : 10.1007/BF02469283
Change-Point Estimation in ARCH Models, Bernoulli, vol.6, issue.3, pp.513-539, 2000. ,
DOI : 10.2307/3318673
Testing for homogeneity of variance in the wavelet domain., Dependence in Probability and Statistics ,
DOI : 10.1007/978-3-642-14104-1_10
URL : https://hal.archives-ouvertes.fr/hal-00598208
An Inequality and Almost Sure Convergence, The Annals of Mathematical Statistics, vol.40, issue.3, pp.1091-1093, 1969. ,
DOI : 10.1214/aoms/1177697615
High moment partial sum processes of residuals in GARCH models and their applications, The Annals of Statistics, vol.33, issue.5, pp.2395-2422, 2005. ,
DOI : 10.1214/009053605000000534
Using penalized contrasts for the change-point problem, Signal Processing, vol.85, issue.8, pp.1501-1510, 2005. ,
DOI : 10.1016/j.sigpro.2005.01.012
URL : https://hal.archives-ouvertes.fr/inria-00070662
The Multiple Change-Points Problem for the Spectral Distribution, Bernoulli, vol.6, issue.5, pp.845-869, 2000. ,
DOI : 10.2307/3318759
Least-squares Estimation of an Unknown Number of Shifts in a Time Series, Journal of Time Series Analysis, vol.21, issue.1, pp.33-59, 2000. ,
DOI : 10.1111/1467-9892.00172
Detecting multiple change-points in the mean of Gaussian process by model selection, Signal Processing, vol.85, issue.4, pp.717-736, 2005. ,
DOI : 10.1016/j.sigpro.2004.11.012
URL : https://hal.archives-ouvertes.fr/inria-00071847
The Cusum Test for Parameter Change in Time Series Models, Scandinavian Journal of Statistics, vol.25, issue.4, pp.781-796, 2003. ,
DOI : 10.1111/1467-9469.00259
Test for parameter change in stochastic processes based on conditional least-squares estimator, Journal of Multivariate Analysis, vol.93, issue.2, pp.375-393, 2005. ,
DOI : 10.1016/j.jmva.2004.03.003
Test for parameter change in ARMA models with GARCH innovations, Statistics & Probability Letters, vol.78, issue.13, pp.1990-1998, 2008. ,
DOI : 10.1016/j.spl.2008.01.068
MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST, Econometric Theory, vol.16, issue.6, pp.835-854, 2000. ,
DOI : 10.1017/S0266466600166022
Sequential change detection revisited, The Annals of Statistics, vol.36, issue.2, pp.787-807, 2008. ,
DOI : 10.1214/009053607000000938
URL : http://arxiv.org/abs/0804.0741
Monitoring parameter change in time series models, Statistical Methods & Applications, vol.10, issue.2, pp.171-199, 2011. ,
DOI : 10.1007/s10260-011-0162-3
Inequality Constraints in the Univariate GARCH Model, Journal of Business & Economic Statistics, vol.10, pp.229-235, 1992. ,
A test for a change in a parameter occurring at an unknown point, Biometrika, vol.42, issue.3-4, pp.523-526, 1955. ,
DOI : 10.1093/biomet/42.3-4.523
Threshold arch models and asymmetries in volatility, Journal of Applied Econometrics, vol.19, issue.1, pp.31-49, 1993. ,
DOI : 10.1002/jae.3950080104
Mean shift testing in correlated data, Journal of Time Series Analysis, vol.28, issue.5, pp.498-511, 2011. ,
DOI : 10.1111/j.1467-9892.2010.00707.x
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression, Journal of Econometrics, vol.47, issue.1, pp.67-84, 1991. ,
DOI : 10.1016/0304-4076(91)90078-R
Pseudo-maximum likelihood estimation of ARCH(???) models, The Annals of Statistics, vol.34, issue.3, pp.1049-1074, 2006. ,
DOI : 10.1214/009053606000000245
Testing for Change Points in Time Series, Journal of the American Statistical Association, vol.105, issue.491, pp.1228-1240, 2010. ,
DOI : 10.1198/jasa.2010.tm10103
Analyse et redefinition des regimes climatiques et hydrologiques du cameroun : Perspectives d'evolution des ressources en eau, Thèse de Doctorat d'Etat ès-Sciences Naturelles, 2004. ,
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach, The Annals of Statistics, vol.34, issue.5, pp.2449-2495, 2006. ,
DOI : 10.1214/009053606000000803
Estimating the number of change-points via Schwarz' criterion, Statistics & Probability Letters, vol.6, issue.3, pp.181-189, 1988. ,
DOI : 10.1016/0167-7152(88)90118-6
Monitoring structural change in dynamic econometric models, Journal of Applied Econometrics, vol.7, issue.1, pp.99-121, 2005. ,
DOI : 10.1002/jae.776