Multiple-Change-Point Detection for Auto-Regressive Conditional Heteroscedastic Processes

DOI10.1111/rssb.12054zbMath1411.62248OpenAlexW2158998391MaRDI QIDQ5743276

Suhasini Subba Rao, Piotr Fryzlewicz

Publication date: 9 May 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/rssb.12054

zbMATH Keywords

mixingnon-stationary time seriesbinary segmentationcumulative sumunbalanced Haar waveletsprocess transformation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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Uses Software

• R