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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