The use of temporally aggregated data in modeling and testing a variance change in a time series

DOI10.1080/03610918.2021.1928197MaRDI QIDQ6073576zbMATH OpenOpenAlexFDO

Authors Bu Hyoung Lee, William W. S. Wei

Publication date 18 September 2023

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2021.1928197

zbMATH Keywords

stationarityARMA modeltemporal aggregationvariance changeCUSUMSQ test

Mathematics Subject Classification ID

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

Cites work

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Cited in

(3)

• The use of temporally aggregated data on detecting a mean change of a time series process
• The analysis of variability of short data sets based on Mahalanobis distance calculation and surrogate time series testing
• The use of aggregate time series for testing conditional heteroscedasticity

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