Using Chernoff’s Bounding Method for High-Performance Structural Break Detection and Forecast Error Reduction
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Publication:5245440
DOI10.1007/978-3-642-31353-0_10zbMath1308.62177MaRDI QIDQ5245440
Benjamin Rupp, Yann Lorion, Dirk Pauli, Sebastian Feller, Ingo J. Timm
Publication date: 8 April 2015
Published in: Informatics in Control, Automation and Robotics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-31353-0_10
hypothesis testing; binomial distribution; Chernoff inequality; change-point detection; additive changes; multiple structural break detection; nonadditive changes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)