Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery

DOI10.4310/SII.2013.V6.N4.A4zbMath1326.91035MaRDI QIDQ896583

Piotr Fryzlewicz, Anna Louise Schröder

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

financial time seriesbinary segmentationchange-point detectionadaptive trend estimationfrequency-domain modellingunbalanced Haar wavelets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Oracally efficient estimation for dense functional data with holiday effects ⋮ 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 ⋮ Tail-greedy bottom-up data decompositions and fast multiple change-point detection

Uses Software

• R
• basta

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