Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
DOI10.4310/SII.2013.V6.N4.A4zbMATH Open1326.91035MaRDI QIDQ896583FDOQ896583
P. Fryzlewicz, Anna Louise Schröder
Publication date: 10 December 2015
Published in: Statistics and Its Interface (Search for Journal in Brave)
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binary segmentationchange-point detectionfinancial time seriesadaptive trend estimationfrequency-domain modellingunbalanced Haar wavelets
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)
Cited In (5)
- Time-varying additive model with autoregressive errors for locally stationary time series
- Generalized multiple change-point detection in the structure of multivariate, possibly high-dimensional, data sequences
- Oracally efficient estimation for dense functional data with holiday effects
- Bayesian detection of piecewise linear trends in replicated time-series with application to growth data modelling
- Tail-greedy bottom-up data decompositions and fast multiple change-point detection
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