An efficient algorithm to estimate the change in variance
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Publication:1787600
DOI10.1016/J.ECONLET.2018.03.031zbMath1401.62175OpenAlexW2796210680MaRDI QIDQ1787600
Publication date: 5 October 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2018.03.031
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)
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