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Breakpoint 1 CUSUM (cumulative sum of squares) 1 Change point 1 Cluster analysis 1 DWT (discrete wavelet transform) 1 MODWT (maximal overlap discrete wavelet transform) 1 MRA (multiresolution analysis) 1 Model-free 1 Non-parametric 1 R package waveslim 1 R programming suite 1 Variance change point 1 Wavelets 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Roberts, Leigh 1
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School of Economics and Finance, Victoria Business School 1
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Working Paper Series / School of Economics and Finance, Victoria Business School 1
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Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns
Roberts, Leigh - School of Economics and Finance, Victoria Business School - 2014
Simple and intuitive non-parametric methods are provided for estimating variance change points for time series data. Only slight alterations to existing open-source computer code applying CUSUM methods for estimating breakpoints are required to apply our proposed techniques. Our approach,...
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