Monitoring changes in RCA models

DOI10.1007/978-3-319-13881-7_15MaRDI QIDQ2833367zbMATH OpenOpenAlexFDO

Authors Zuzana Prášková

Publication date 18 November 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-13881-7_15

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Monitoring parameter changes in RCA(\(p\)) models
• Structural change monitoring for random coefficient autoregressive time series
• Monitoring parameter changes for random coefficient autoregressive models
• The Cusum Test for Parameter Change in Time Series Models
• Change point detection in vector autoregression.

Cites work

• A review of copula models for economic time series
• A Survey on PageRank Computing
• Autoregressive series with random parameters
• Estimation in Random Coefficient Autoregressive Models
• Extensions of some classical methods in change point analysis
• Monitoring changes in linear models
• Monitoring parameter change in AR\((p)\) time series models
• Monitoring parameter change in time series models
• Monitoring parameter changes for random coefficient autoregressive models
• Monitoring Structural Change
• On the quasi-likelihood estimation for random coefficient autoregressions
• Random coefficient autoregressive models: an introduction
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Stochastic Limit Theory
• Strong approximation for RCA(1) time series with applications
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(5)

• Strong approximation for RCA(1) time series with applications
• Monitoring parameter changes for random coefficient autoregressive models
• Monitoring parameter changes in RCA(\(p\)) models
• Random autoregressive models: a structured overview
• Structural change monitoring for random coefficient autoregressive time series

This page was built for publication: Monitoring changes in RCA models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2833367)