A Scale‐space Approach for Detecting Non‐stationarities in Time Series

DOI10.1111/j.1467-9469.2006.00556.xzbMath1164.62050MaRDI QIDQ3608255

Fred Godtliebsen, Sigrunn H. Sørbye, Lena Ringstad Olsen

Publication date: 28 February 2009

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2006.00556.x

zbMATH Keywords

saddlepoint approximation; mean; variance; autocorrelation; false discovery rate; change-point detection; SiNos

Mathematics Subject Classification ID

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

62G05: Nonparametric estimation

93E10: Estimation and detection in stochastic control theory

62E17: Approximations to statistical distributions (nonasymptotic)

62G99: Nonparametric inference

62A09: Graphical methods in statistics

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