Inferences about the parameters of a time series model with changing variance

DOI10.1007/BF01915199MaRDI QIDQ795457zbMATH OpenFDO

Authors Bovas Abraham, William W. S. Wei

Publication date 1984

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/175948

zbMATH Keywords

posterior distributionschange point problemtime series modeldiscrete variance changevariance ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A New Approach to Estimating Switching Regressions
• Bayesian analysis of some outlier problems in time series
• Inference in Two-Phase Regression
• Intervention Analysis with Applications to Economic and Environmental Problems
• Linear Models and Spurious Observations

Cited in

(10)

• Confidence distributions for skew normal change-point model based on modified information criterion
• Adaptive estimation of autoregressive models with time-varying variances
• Detecting change-points in multidimensional stochastic processes
• Ratio test to detect change in the variance of linear process
• A Bayesian Analysis of a Structural Change in the Parameters of a Time Series
• An asymptotic test for constancy of the variance under short-range dependence
• Pre and post break parameter inference
• Testing for variance changes in autoregressive models with unknown order
• Covariance changes detection in multivariate time series
• Ratio test for variance change point in linear process with long memory

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