Structural break detection method based on the adaptive regression splines technique

DOI10.1016/j.physa.2016.12.011zbMath1400.62186arXiv1605.08667OpenAlexW2963944290MaRDI QIDQ1620476

Radosław Zimroz, Daniel Kucharczyk, Agnieszka Wyłomańska

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.08667

zbMATH Keywords

mediansegmentationstatistical teststructural break point detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Multivariate adaptive regression splines
• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
• Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
• Automatic speech signal segmentation based on the innovation adaptive filter
• Statistical Tools for Finance and Insurance
• Rank-Sum Tests for Dispersions
• Regression-Type Estimation of the Parameters of Stable Laws
• Regime Variance Testing --- a Quantile Approach

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