Detection of multiple change-points in multivariate time series
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Publication:2471636
DOI10.1007/s10986-006-0028-9zbMath1138.62051OpenAlexW2158591439MaRDI 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
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)
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