Covariance changes detection in multivariate time series (Q2433827)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Covariance changes detection in multivariate time series |
scientific article |
Statements
Covariance changes detection in multivariate time series (English)
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30 October 2006
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CUSUM statistic
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heteroskedasticity
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likelihood ratio test statistic
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step changes
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VARMA models
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tables
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