Test for conditional quantile change in general conditional heteroscedastic time series models

DOI10.1007/S10463-023-00889-ZMaRDI QIDQ6197124zbMATH OpenFDO

Authors Sangyeol Lee, Chang Kyeom Kim

Publication date 16 March 2024

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10463-023-00889-Z

zbMATH Keywords

change point detectionconditional heteroscedastic time series modelsCUSUM testquantile regressionrisk management

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(1)

• Robust estimation for bounded bivariate time series models of counts based on density power divergence

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