A detection procedure for variance change points in AR(1) models
From MaRDI portal
Publication:4919786
Recommendations
- Testing for variance changes in autoregressive models with unknown order
- Testing and estimating change-points in time series
- A Bayesian analysis of multiple changes in the variance of first-order autoregressive time series models
- Change detection in autoregressive time series
- A NONPARAMETRIC TEST OF CHANGING CONDITIONAL VARIANCES IN AUTOREGRESSIVE TIME SERIES
Cited in
(10)- Multiple change point detection and validation in autoregressive time series data
- Change Point Detection with Stable AR(1) Errors
- Invariance principles for change-point problems under dependent random variables
- Analysis of multiple model method for change detection of AR processes
- Change-point detection for variance piecewise constant models
- scientific article; zbMATH DE number 3894315 (Why is no real title available?)
- Detection of change points in time series analysis with fuzzy statistics
- A robust approach for estimating change-points in the mean of an \(\mathrm{AR}(1)\) process
- Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
- Change point detection in time series using higher-order statistics: a heuristic approach
This page was built for publication: A detection procedure for variance change points in AR(1) models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4919786)
