A detection procedure for variance change points in AR(1) models

zbMATH Open1262.62141MaRDI QIDQ4919786FDOQ4919786

Authors: Gui Yeol Ryu, Sinsup Cho 

Publication date: 15 May 2013

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Mathematics Subject Classification ID

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

Cited In (10)

• Change-point detection for variance piecewise constant models
• Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
• Title not available (Why is that?)
• Multiple change point detection and validation in autoregressive time series data
• Change point detection in time series using higher-order statistics: a heuristic approach
• Invariance principles for change-point problems under dependent random variables
• Detection of change points in time series analysis with fuzzy statistics
• Analysis of multiple model method for change detection of AR processes
• Change Point Detection with Stable AR(1) Errors
• A robust approach for estimating change-points in the mean of an \(\mathrm{AR}(1)\) process

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