Break detection in the covariance structure of multivariate time series models

DOI10.1214/09-AOS707zbMath1191.62143arXiv0911.3796OpenAlexW3098547022MaRDI QIDQ1043722

Alexander Aue, Lajos Horváth, Matthew Reimherr, 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 theoremcovariancemultivariate time seriesstructural breakschange-pointsmultivariate GARCH models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Functional limit theorems; invariance principles (60F17)

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Uses Software

• FinTS

Cites Work

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