Estimating mean change-points in ARCH models

MaRDI QIDQ5432799zbMATH OpenFDO

Authors Sier Han, Zheng Tian

Publication date 18 December 2007

zbMATH Keywords

ARCH processesBrownian motionchange-point estimator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(7)

• Mean estimation in the presence of change points
• Change-point estimation in ARCH models
• Randomised pseudolikelihood ratio change point estimator in GARCH models
• Estimation of change-points in linear and nonlinear time series models
• Detection and estimation of changes in ARCH processes
• Estimation mean change-point in ARCH models with heavy-tailed innovations
• Testing and estimation for multiple change-point in ARCH models

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