The split-BREAK model

DOI10.1214/09-BJPS025MaRDI QIDQ468012zbMATH OpenOpenAlexFDO

Authors Vladica Stojanović, Biljana Popović, Predrag Popović

Publication date 5 November 2014

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bjps/1291387773

zbMATH Keywords

noise-indicatorsplit-BREAK processsplit-MA(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• scientific article; zbMATH DE number 1200158 (Why is no real title available?)
• Approximation Theorems of Mathematical Statistics
• Durations, volume and the prediction of financial returns in transaction time
• Large shocks vs. small shocks. (Or does size matter? May be so.)
• REVERSED RESIDUALS IN AUTOREGRESSIVE TIME SERIES ANALYSIS
• Random coefficient autoregressive models: an introduction
• The Lindeberg-Levy Theorem for Martingales

Cited in

(4)

• Noise-indicator nonnegative integer-valued autoregressive time series of the first order
• Distributional properties and parameters estimation of GSB process: an approach based on characteristic functions
• The split-SV model
• Model of general split-BREAK process

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