Dating multiple change points in the correlation matrix
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Publication:1694371
DOI10.1007/s11749-016-0513-3OpenAlexW3123366284MaRDI QIDQ1694371
Publication date: 1 February 2018
Published in: Test (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/33114
correlation matrixnonparametric estimationbinary segmentation algorithmCUSUM statisticsfinancial returnsmultiple change point detection
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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Detection of multiple change-points in the scale parameter of a gamma distributed sequence based on reversible jump MCMC, A residual-based multivariate constant correlation test
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Cites Work
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