Adaptive parametric change point inference under covariance structure changes
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Cites work
- Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Bootstrapping covariance operators of functional time series
- Break detection in the covariance structure of multivariate time series models
- Change point analysis of covariance functions: a weighted cumulative sum approach
- Common breaks in means and variances for panel data
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- Detecting Changes in Covariance via Random Matrix Theory
- Detection of multiple change-points in multivariate time series
- Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices
- Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences
- Extensions of some classical methods in change point analysis
- Financial Modelling with Jump Processes
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3984391 (Why is no real title available?)
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- Inference for single and multiple change-points in time series
- Inference on the change point under a high dimensional sparse mean shift
- Multiple Change-Point Estimation With a Total Variation Penalty
- Multiscale local change point detection with applications to value-at-risk
- On adaptive estimation
- Structural breaks in time series
- Testing and estimating change-points in the covariance matrix of a high-dimensional time series
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- The Distribution of Realized Exchange Rate Volatility
- The location of the maximum and asymmetric two-sided Brownian motion with triangular drift
- Time-ordered classification
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