Analysis of time series with multiple shifts of levels and volatilities

DOI10.5705/SS.2009.237zbMATH Open1225.62124OpenAlexW2151713881MaRDI QIDQ5894348FDOQ5894348

Authors: Heping He 

Publication date: 10 November 2011

Published in: STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7300b00f9a1854e8bfe4df823dcdf311e723071b

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zbMATH Keywords

change pointhidden Markov modelleast squares methodARMA modelbreak fraction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (3)

• Detecting and modeling changes in a time series of proportions
• Time series regression with persistent level shifts
• A Comparison of Two Alternative Approaches to Modeling Level Shifts in the Presence of Outliers

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