Changepoint in dependent and non-stationary panels

DOI10.1007/s00362-020-01180-6zbMath1452.62314OpenAlexW3044980615MaRDI QIDQ2208373

Matúš Maciak, Barbora Peštová, Michal Pešta

Publication date: 2 November 2020

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-020-01180-6

zbMATH Keywords

changepointbootstrappanel datainsurancedependencecall optionsnon-stationatity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Nonparametric statistical resampling methods (62G09) Risk models (general) (91B05) Causal inference from observational studies (62D20)

Related Items (4)

Isolating changed panels and estimating common change point after sequential detection with FDR control ⋮ Investment disputes and their explicit role in option market uncertainty and overall risk instability ⋮ Implied Volatility Surface Estimation via Quantile Regularization ⋮ Infinitely stochastic micro reserving

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