A general procedure for change-point detection in multivariate time series

DOI10.1007/s11749-022-00824-zzbMath1516.62074arXiv2104.13789MaRDI QIDQ6114842

Mamadou Lamine Diop, William Charky Kengne

Publication date: 12 July 2023

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.13789

zbMATH Keywords

consistencymultivariate time serieschange-pointminimum contrast estimationinteger-valued time seriescausal processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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