Change point detection in heteroscedastic time series

Tomasz Górecki; Lajos Horváth; Piotr Kokoszka

doi:10.1016/j.ecosta.2017.07.005

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Change point detection in heteroscedastic time series

Tomasz Górecki Lajos Horváth Piotr Kokoszka

Year: 2017 Journal: Econometrics and Statistics Vol: 7 Pages: 63-88 Publisher: Elsevier BV

DOI: 10.1016/j.ecosta.2017.07.005

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Keywords:

Heteroscedasticity Series (stratigraphy) Change detection Variance (accounting) Econometrics Mathematics Nonlinear system Limit (mathematics) Gaussian Time series Computer science Applied mathematics Statistics Statistical physics Artificial intelligence Mathematical analysis

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Market Dynamics and Volatility

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Change point detection in heteroscedastic time series

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