The split-BREAK model

DOI10.1214/09-BJPS025zbMATH Open1298.62158OpenAlexW2000996197MaRDI QIDQ468012FDOQ468012

Authors: Vladica Stojanović, Biljana Popović, Predrag Popović 

Publication date: 5 November 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1291387773

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zbMATH Keywords

noise-indicatorsplit-BREAK processsplit-MA(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Approximation Theorems of Mathematical Statistics
• The Lindeberg-Levy Theorem for Martingales
• Title not available (Why is that?)
• Large shocks vs. small shocks. (Or does size matter? May be so.)
• Random coefficient autoregressive models: an introduction
• REVERSED RESIDUALS IN AUTOREGRESSIVE TIME SERIES ANALYSIS
• Title not available (Why is that?)
• Durations, volume and the prediction of financial returns in transaction time

Cited In (4)

• Noise-indicator nonnegative integer-valued autoregressive time series of the first order
• Distributional properties and parameters estimation of GSB process: an approach based on characteristic functions
• The split-SV model
• Model of general split-BREAK process

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