Break detection for a class of nonlinear time series models (Q3552855)
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scientific article; zbMATH DE number 5697512
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| English | Break detection for a class of nonlinear time series models |
scientific article; zbMATH DE number 5697512 |
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Break Detection for a Class of Nonlinear Time Series Models (English)
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22 April 2010
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generalized autoregressive conditionally heteroscedastic processes
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genetic algorithm
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minimum description length principle
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model selection
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multiple change points
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non-stationary time series
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state-space models
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stochastic volatility models
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0.8706258535385132
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0.8007314205169678
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0.7857940793037415
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0.7784121036529541
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