摘要翻译：
我们提出了一个序贯监测方案来发现房地产市场的结构性突变。房地产价格的变化是用线性和自回归项的组合来建模的。该监测方案基于检测器和适当选择的边界函数。如果检测器越过边界函数，则检测到结构断裂。给出了该过程在稳定性零假设下的渐近性和在变点交替下的停止时间。蒙特卡罗模拟在几种情况下显示了我们的方法的大小和功率。我们研究了波士顿、洛杉矶和美国全国范围内的房地产市场。我们在市场中发现结构性中断，并将数据划分为固定的部分。观察到自回归参数在增加，但保持在1以下。
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英文标题：
《Sequential Monitoring of Changes in Housing Prices》
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作者：
Lajos Horv\'ath (1), Zhenya Liu (2 and 3) and Shanglin Lu (2) ((1)
  Department of Mathematics, University of Utah, (2) School of Finance, Renmin
  University of China, (3) CERGAM, Aix--Marseille University)
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最新提交年份：
2020
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
  We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector and a suitably chosen boundary function. If the detector crosses the boundary function, a structural break is detected. We provide the asymptotics for the procedure under the stability null hypothesis and the stopping time under the change point alternative. Monte Carlo simulation is used to show the size and the power of our method under several conditions. We study the real estate markets in Boston, Los Angeles and at the national U.S. level. We find structural breaks in the markets, and we segment the data into stationary segments. It is observed that the autoregressive parameter is increasing but stays below 1.
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PDF链接：
https://arxiv.org/pdf/2002.04101