Dating multiple change points in the correlation matrix (Q1694371)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dating multiple change points in the correlation matrix |
scientific article |
Statements
Dating multiple change points in the correlation matrix (English)
0 references
1 February 2018
0 references
binary segmentation algorithm
0 references
correlation matrix
0 references
CUSUM statistics
0 references
financial returns
0 references
multiple change point detection
0 references
nonparametric estimation
0 references
0 references
