Multiple-Change-Point Detection for Auto-Regressive Conditional Heteroscedastic Processes
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Publication:5743276
DOI10.1111/rssb.12054zbMath1411.62248MaRDI QIDQ5743276
Piotr Fryzlewicz, Suhasini Subba Rao
Publication date: 9 May 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/rssb.12054
mixing; non-stationary time series; binary segmentation; cumulative sum; unbalanced Haar wavelets; process transformation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M07: Non-Markovian processes: hypothesis testing
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