Break detection in the covariance structure of multivariate time series models

DOI10.1214/09-AOS707zbMath1191.62143arXiv0911.3796MaRDI QIDQ1043722

Lajos Horváth, Matthew Reimherr, Alexander Aue, Siegfried Hörmann

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3796

zbMATH Keywords

functional central limit theorem; covariance; multivariate time series; structural breaks; change-points; multivariate GARCH models

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

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

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

60F17: Functional limit theorems; invariance principles

Related Items

Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data, On the application of new tests for structural changes on global minimum-variance portfolios, Functional data analysis with increasing number of projections, Testing for a change in covariance operator, A test for parameter change in general causal time series using quasi-likelihood estimator, Change-point analysis in increasing dimension, Detecting changes in functional linear models, Weakly dependent functional data, A new fluctuation test for constant variances with applications to finance, Inference for modulated stationary processes, Consistency of minimum description length model selection for piecewise stationary time series models, Dependent functional data, Monitoring procedure for parameter change in causal time series, Structural breaks in time series, Inference for single and multiple change-points in time series, TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD, SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS, QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

Uses Software

• FinTS

Cites Work

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