Sequential change point detection in ARMA-GARCH models
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Recommendations
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- A new sequential test for detection of a point of change in ARMA parameters
- Parameter change tests for ARMA-GARCH models
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- Monitoring procedure for parameter change in causal time series
Cites work
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Extensions of some classical methods in change point analysis
- GARCH processes: structure and estimation
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 1157181 (Why is no real title available?)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Mean shift testing in correlated data
- Monitoring parameter change in time series models
- Monitoring procedure for parameter change in causal time series
- Monitoring Structural Change
- Monitoring structural changes with the generalized fluctuation test
- On-line monitoring of pollution concentrations with autoregressive moving average time series
- Parameter change tests for ARMA-GARCH models
- Reaction times of monitoring schemes for ARMA time series
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Structural breaks in time series
- Test for parameter change in ARMA models with GARCH innovations
Cited in
(13)- On change point test for ARMA-GARCH models: bootstrap approach
- Sequential change point test in the presence of outliers: the density power divergence based approach
- Real-time detection of a change-point in a linear expectile model
- On change-point detection in volatile series using GARCH models
- Monitoring procedure for parameter change in causal time series
- On the distribution of the test statistic for detecting a point of change in real and Gaussian A.R.M.A. parameters
- On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
- Change Point Detection with Stable AR(1) Errors
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Sequential change-point detection in time series models with conditional heteroscedasticity
- Bayesian quickest change detection for unnormalized and score-based models
- The consistency for CUSUM estimator of mean change-point model based on association
- A new sequential test for detection of a point of change in ARMA parameters
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