Detection of multiple change-points in multivariate time series
From MaRDI portal
Publication:2471636
DOI10.1007/s10986-006-0028-9zbMath1138.62051MaRDI QIDQ2471636
Marc Lavielle, Gilles Teyssière
Publication date: 18 February 2008
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-006-0028-9
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
60F05: Central limit and other weak theorems
62M09: Non-Markovian processes: estimation
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