A wavelet-based approach for detecting changes in second order structure within nonstationary time series
DOI10.1214/13-EJS799zbMath1337.62269OpenAlexW1977176085MaRDI QIDQ1951153
Rebecca Killick, Philip Jonathan, Idris A. Eckley
Publication date: 29 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1366722164
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to environmental and related topics (62P12) Non-Markovian processes: hypothesis testing (62M07)
Related Items (11)
Uses Software
Cites Work
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- Testing for changes in the covariance structure of linear processes
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- Structural Break Estimation for Nonstationary Time Series Models
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