Segmenting mean-nonstationary time series via trending regressions
DOI10.1016/J.JECONOM.2012.02.003zbMATH Open1443.62425OpenAlexW1983744212MaRDI QIDQ527952FDOQ527952
Authors: Marie Hušková, Alexander Aue, Lajos Horváth 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000590
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Gaussian processeslinear modelsresamplingcircular bootstrapchange-point analysisGumbel distributionpolynomial regressionextreme value asymptoticstrending regression
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)
Cites Work
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Cited In (6)
- Estimating change points in nonparametric time series regression models
- Extensions of some classical methods in change point analysis
- Structural breaks in time series
- Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
- Detecting change structures of nonparametric regressions
- A multi-scale approach for testing and detecting peaks in time series
Uses Software
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