Break detection in the covariance structure of multivariate time series models

DOI10.1214/09-AOS707zbMath1191.62143arXiv0911.3796MaRDI QIDQ1043722

Lajos Horváth, Matthew Reimherr, Alexander Aue, Siegfried Hörmann

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3796

zbMATH Keywords

functional central limit theorem; covariance; multivariate time series; structural breaks; change-points; multivariate GARCH models

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

60F17: Functional limit theorems; invariance principles

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Uses Software

• FinTS

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