Detecting abrupt changes in a piecewise locally stationary time series
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Publication:2482613
DOI10.1016/J.JMVA.2007.06.010zbMath1139.62050OpenAlexW2004406274WikidataQ36593416 ScholiaQ36593416MaRDI QIDQ2482613
Michael Last, Robert H. Shumway
Publication date: 23 April 2008
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2007.06.010
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)
Related Items (6)
Nonparametric change point detection in multivariate piecewise stationary time series ⋮ Subsampling tests for variance changes in the presence of autoregressive parameter shifts ⋮ Optimal change point detection in Gaussian processes ⋮ BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Directed wavelet covariance
Uses Software
Cites Work
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