Changepoint estimation for dependent and non-stationary panels.

DOI10.21136/AM.2020.0296-19OpenAlexW3031754953MaRDI QIDQ778562FDOQ778562

Authors Michal Pešta, Barbora Peštová, Matúš Maciak 

Publication date 2 July 2020

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21136/am.2020.0296-19

zbMATH Keywords

changepointpanel datadependenceestimationnon-stationaritycall optionsnon-life insurancechange in means

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1005342 (Why is no real title available?)
• Basic properties of strong mixing conditions. A survey and some open questions
• Change-point detection in panel data
• Changepoint estimation for dependent and non-stationary panels.
• Common breaks in means and variances for panel data
• Detection of structural breaks in linear dynamic panel data models
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Estimation of heterogeneous panels with structural breaks
• Testing structural changes in panel data with small fixed panel size and bootstrap
• Total least squares and bootstrapping with applications in calibration

Cited in

(9)

• Infinitely stochastic micro reserving
• scientific article; zbMATH DE number 5713428 (Why is no real title available?)
• Changepoint in dependent and non-stationary panels
• Editorial for the special issue: Change point detection
• Changepoint estimation for dependent and non-stationary panels.
• Isolating changed panels and estimating common change point after sequential detection with FDR control
• Investment disputes and their explicit role in option market uncertainty and overall risk instability
• Using interpolated implied volatility for analysing exogenous market changes
• Implied volatility surface estimation via quantile regularization

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