Strong approximation for RCA(1) time series with applications
From MaRDI portal
Publication:1881237
DOI10.1016/J.SPL.2004.04.007zbMATH Open1086.62092OpenAlexW2081372596MaRDI QIDQ1881237FDOQ1881237
Publication date: 4 October 2004
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2004.04.007
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Functional limit theorems; invariance principles (60F17)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Almost sure invariance principles for partial sums of mixing B-valued random variables
- Delay time in sequential detection of change
- An approximation of partial sums of independent RV's, and the sample DF. II
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- Monitoring Structural Change
- Detection of changes in linear sequences
- Monitoring changes in linear models
- On strong invariance principles under dependence assumptions
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- An invariance principle for the law of the iterated logarithm
- TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
Cited In (10)
- Strong approximations and sequential change-point analysis for diffusion processes
- Properties of a new family of volatility sign models
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- Testing for parameter stability in \(RCA(1)\) time series
- RCA models with GARCH innovations
- Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes
- Monitoring Changes in RCA Models
- Monitoring parameter changes in RCA(\(p\)) models
- Structural Change Monitoring for Random Coefficient Autoregressive Time Series
This page was built for publication: Strong approximation for RCA(1) time series with applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1881237)
