Testing for parameter changes in linear state space models

DOI10.1002/ASMB.2636MaRDI QIDQ6579702zbMATH OpenFDO

Authors Vasyl Golosnoy, Steffen Köhler, Wolfgang Schmid, Miriam Isabel Seifert

Publication date 25 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

zbMATH Keywords

statistical testsvolatility modelingmultiple time serieslinear state space models

Mathematics Subject Classification ID

Statistics (62-XX)

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