Break Detection for a Class of Nonlinear Time Series Models
Publication:3552855
DOI10.1111/j.1467-9892.2008.00585.xzbMath1199.62006MaRDI QIDQ3552855
Gabriel A. Rodriguez-Yam, Richard A. Davis, Thomas C. M. Lee
Publication date: 22 April 2010
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00585.x
model selection; genetic algorithm; state-space models; non-stationary time series; stochastic volatility models; minimum description length principle; multiple change points; generalized autoregressive conditionally heteroscedastic processes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
90C59: Approximation methods and heuristics in mathematical programming
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