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

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+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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+Statistical inference for time-inhomogeneous volatility models.
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+An adaptive algorithm for least squares piecewise monotonic data fitting
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