Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models

DOI10.1080/07350015.2022.2120485OpenAlexW4295860407MaRDI QIDQ6190740

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Changepoint_detection_in_heteroskedastic_Random_Coefficient_Autoregressive_models/21028429

zbMATH Keywords

heteroscedasticity nonstationarity random coefficient autoregression changepoint problem weighted CUSUM process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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