Changepoint detection in heteroscedastic random coefficient autoregressive models
Lajos Horváth and Lorenzo Trapani
| Year of publication: |
2023
|
|---|---|
| Authors: | Horváth, Lajos ; Trapani, Lorenzo |
| Subject: | Changepoint problem | Heteroscedasticity | Nonstationarity | Random coefficient autoRegression | Weighted CUSUM process | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Heteroskedastizität | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2022.2120485 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448637