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

DOI10.1080/03610918.2021.1928197OpenAlexW3167729394MaRDI QIDQ6073576FDOQ6073576

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

• Title not available (Why is that?)
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Cited In (3)

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

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