Estimation of the long-run variance of nonlinear time series with an application to change point analysis

MaRDI QIDQ6529037arXivFDO

Authors Vaidotas Characiejus, Piotr Kokoszka, Xiangdong Meng

Published in arXiv

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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