Break Detection for a Class of Nonlinear Time Series Models

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

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

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 selection; genetic algorithm; state-space models; non-stationary time series; stochastic volatility models; minimum description length principle; multiple change points; generalized autoregressive conditionally heteroscedastic processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

90C59: Approximation methods and heuristics in mathematical programming

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