Multiscale local change point detection with applications to value-at-risk
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Publication:1018645
DOI10.1214/08-AOS612zbMath1160.62084arXiv0906.1698OpenAlexW3101461704MaRDI QIDQ1018645
Publication date: 20 May 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.1698
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)
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