New penalty in information criteria for the ARCH sequence with structural changes

DOI10.1002/STA4.612MaRDI QIDQ6548868zbMATH OpenFDO

Authors Ryoto Ozaki, Yoshiyuki Ninomiya

Publication date 3 June 2024

Published in Stat (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1002/STA4.612

zbMATH Keywords

AICBrownian motionchange point analysisheteroscedasticitymodel misspecificationrandom walkstatistical asymptoticsTIC

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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