Real-time changepoint detection in a nonlinear expectile model

DOI10.1007/s00184-023-00904-6OpenAlexW4361273844MaRDI QIDQ6128296

Michal Pešta, Gabriela Ciuperca, Matúš Maciak

Publication date: 15 April 2024

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-023-00904-6

zbMATH Keywords

coherent risk measureasymmetric least squaresonline detectionconditional expectileschangepoint test

Mathematics Subject Classification ID

Statistics (62-XX)

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