Nonparametric volatility change detection (Q5001014)
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scientific article; zbMATH DE number 7372285
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric volatility change detection |
scientific article; zbMATH DE number 7372285 |
Statements
Nonparametric volatility change detection (English)
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16 July 2021
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change point
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conditional variance function
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CUSUM
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heteroscedasticity
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kernel estimation
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Kolmogorov-Smirnov test
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marked empirical process
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structural change
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