Research

Research Interests

time series
change-point analysis
invariance principles

Publications and Preprints

Estimation of a change-point in the mean of functional data. Preprint (with R. Gabrys, L. Horváth and P. Kokoszka).

Local bandwidth selection via second derivative segmentation. Preprint (with T.C.M. Lee and H. Wang).

Delay Times of Sequential Procedures for Linear Models. Preprint (with L. Horváth and M.L. Reimherr).

Extreme Value Theory for Stochastic Integrals of Legendre Polynomials. Preprint (with L. Horváth and M. Hušková).

Testing for Changes in Polynomial Regression. Bernoulli, to appear (with L. Horváth and M. Hušková).

On Distinguishing Between Random Walks and Changes in the Mean Alternatives. Econometric Theory, to appear (with L. Horváth, M. Hušková and S. Ling).

Extreme Value Distribution of a Recursive-type Detector in a Linear Model. Extremes, to appear (with M. Kühn).

Near-Integrated Random Coefficient Autoregressive Time Series. Econometric Theory, to appear.

Monitoring Shifts in Mean: Asymptotic Normality of Stopping Times. Test, to appear (with L. Horváth, P. Kokoszka and J. Steinebach).

Selection from a Stable Box. Bernoulli 14 (2008), 125-139 (with I. Berkes and L. Horváth).

A Note on the Existence of Solutions to a Stochastic Recurrence Equation. Acta Scientiarum Mathematicarum 73 (2007), 831-843 (with I. Berkes and L. Horváth).

Rescaled Range Analysis in the Presence of Stochastic Trend. Statistics & Probability Letters 77 (2007), 1165-1175 (with L. Horváth and J. Steinebach).

A Limit Theorem for Mildly Explosive Autoregression with Stable Errors. Econometric Theory 23 (2007), 201-220 (with L. Horváth).

Discriminating between Level Shifts and Random Walks: a Delay Time Approach. In: Conference Proceedings, Prague Stochastics 2006 (Eds. M. Hušková and M. Janzura), 73-80
(with L. Horváth and Zs. Horváth).

Change-Point Monitoring in Linear Models. Econometrics Journal 9 (2006), 373-403 (with L. Horváth, M. Hušková and P. Kokoszka).

Strong Approximation for the Sums of Squares of Augmented GARCH Sequences.
Bernoulli 12 (2006), 583-608 (with I. Berkes and L. Horváth).

Testing for Parameter Stability in RCA(1) Time Series. Journal of Statistical Planning and Inference 136 (2006), 3070-3089.

Estimation in Random Coefficient Autoregressive Models. Journal of Time Series Analysis 27 (2006), 61-76 (with L. Horváth and J. Steinebach).

Statistical Terminology. In: Encyclopedia of Actuarial Science, Vol. 3 (Eds. J.L. Teugels and B. Sundt).
Wiley, Chichester (2004), 1593-1596.

Strong Approximation for RCA(1) Time Series with Applications. Statistics & Probability Letters 68 (2004), 369-382.

Delay Time in Sequential Detection of Change. Statistics & Probability Letters 67 (2004), 221-231 (with L. Horváth).

Approximations for the Maximum of a Vector-Valued Stochastic Process with Drift. Periodica Mathematica Hungarica 47 (2003), 1-15 (with L. Horváth).

A Note on Estimating the Change-Point of a Gradually Changing Stochastic Process. Statistics & Probability Letters 56 (2002), 177-191 (with J. Steinebach).