Dating multiple change points in the correlation matrix (Q1694371)
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scientific article; zbMATH DE number 6833483
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dating multiple change points in the correlation matrix |
scientific article; zbMATH DE number 6833483 |
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Dating multiple change points in the correlation matrix (English)
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1 February 2018
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binary segmentation algorithm
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correlation matrix
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CUSUM statistics
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financial returns
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multiple change point detection
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nonparametric estimation
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