Break Detection for a Class of Nonlinear Time Series Models

DOI10.1111/j.1467-9892.2008.00585.xzbMath1199.62006OpenAlexW2143975431MaRDI QIDQ3552855

Gabriel A. Rodriguez-Yam, Richard A. Davis, Thomas C. M. Lee

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00585.x

zbMATH Keywords

model selectiongenetic algorithmstate-space modelsnon-stationary time seriesstochastic volatility modelsminimum description length principlemultiple change pointsgeneralized autoregressive conditionally heteroscedastic processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59)

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