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

DOI10.1007/BF01915199zbMATH Open0542.62078MaRDI QIDQ795457FDOQ795457

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

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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)

Cites Work

• Title not available (Why is that?)
• A New Approach to Estimating Switching Regressions
• Title not available (Why is that?)
• Linear Models and Spurious Observations
• Bayesian analysis of some outlier problems in time series
• Intervention Analysis with Applications to Economic and Environmental Problems
• Inference in Two-Phase Regression

Cited In (10)

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

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