Simultaneous inference for time-varying models

Cites Work

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Generalized autoregressive conditional heteroscedasticity
Functional data analysis.
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Gaussian approximation for high dimensional time series
Gaussian approximations for non-stationary multiple time series
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Testing and Locating Variance Changepoints with Application to Stock Prices
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Testing for the Constancy of Parameters Over Time
Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
A new test for structural stability in the linear regression model
Statistical methods in finance
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Monitoring disruptions in financial markets
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Cited In (12)

Simultaneous variable selection and structural identification for time‐varying coefficient models
A bootstrap functional central limit theorem for time-varying linear processes
Learning CHARME models with neural networks
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Simultaneous inference for time-varying models
Sieve bootstrap inference for linear time-varying coefficient models
Inverse covariance operators of multivariate nonstationary time series
Gaussian approximation for nonstationary time series with optimal rate and explicit construction
Autoregressive approximations to nonstationary time series with inference and applications
Bayesian modelling of time-varying conditional heteroscedasticity
Assessing and accounting for time heterogeneity in stochastic actor oriented models
Time-varying multivariate causal processes

Uses Software

fda (R)

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