Modelling time series when mean and variability both change

DOI10.1016/J.MATCOM.2007.01.039MaRDI QIDQ2479440zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 26 March 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2007.01.039

zbMATH Keywords

least-squareslikelihood ratio testtrendschanging variability

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cites work

• scientific article; zbMATH DE number 1667428 (Why is no real title available?)
• scientific article; zbMATH DE number 2118489 (Why is no real title available?)
• scientific article; zbMATH DE number 2122818 (Why is no real title available?)
• scientific article; zbMATH DE number 1454116 (Why is no real title available?)
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• An introduction to statistical modeling of extreme values
• Extreme value theory. An introduction.
• Statistics of Extremes
• Strong approximations of the quantile process
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

Cited in

(4)

• Modeling Time Series With Calendar Variation
• Statistical analysis and time-series models for minimum/maximum temperatures in the Antarctic Peninsula
• Inferences about the parameters of a time series model with changing variance
• Subsampling tests for the mean change point with heavy-tailed innovations

Describes a project that uses

Uses Software

• ismev

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