We develop and study sequential testing procedures á la Chu et al. (1996) for on-line detection of changes in a time series from stationarity to mild forms of non-stationarity. The proposed tests are based on sequential CUSUM and KPSS-type detector processes, and are shown to provide consistent...

We study forward curves formed from commodity futures prices listed on the Standard and Poor's-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced...

A common goal in modeling and data mining is to determine, based on sample data, whether or not a change of some sort has occurred in a quantity of interest. The study of statistical problems of this nature is typically referred to as change point analysis. Though change point analysis...