Modelling time series when mean and variability both change

DOI10.1016/j.matcom.2007.01.039zbMath1131.62083OpenAlexW2032180873MaRDI QIDQ2479440

Yanyan Li

Publication date: 26 March 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2007.01.039

zbMATH Keywords

likelihood ratio testleast-squarestrendschanging variability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Point estimation (62F10)

Related Items (1)

Subsampling tests for the mean change point with heavy-tailed innovations

Uses Software

• ismev

Cites Work

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• Strong approximations of the quantile process
• Statistics of Extremes
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large
• An introduction to statistical modeling of extreme values

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