Recursive computation of piecewise constant volatilities (Q1927142): Difference between revisions

@@ Property / author @@
-Laurie Davies
@@ Property / author: Laurie Davies / rank @@
-Normal rank
@@ Property / author @@
-Walter Kramer
@@ Property / author: Walter Kramer / rank @@
-Normal rank
@@ Property / author @@
+Laurie Davies
@@ Property / author: Laurie Davies / rank @@
+Normal rank
@@ Property / author @@
+Walter Kramer
@@ Property / author: Walter Kramer / rank @@
+Normal rank
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+ftnonpar
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2010.06.027
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+W2117875334
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@@ Property / cites work @@
+Estimating and Testing Linear Models with Multiple Structural Changes
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+Consistencies and rates of convergence of jump-penalized least squares estimators
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+Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions
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+Local extremes, runs, strings and multiresolution. (With discussion)
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+Nonparametric regression, confidence regions and regularization
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+Detection of multiple changes in a sequence of dependent variables
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+Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
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+Detection of multiple change-points in multivariate time series
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@@ Property / cites work @@
+Statistical inference for time-inhomogeneous volatility models.
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@@ Property / cites work @@
+An adaptive algorithm for least squares piecewise monotonic data fitting
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@@ links / mardi / name / links / mardi / name @@
+Publication:1927142