Randomised pseudolikelihood ratio change point estimator in GARCH models

DOI10.1155/2020/6671515zbMath1484.62109OpenAlexW3113567275MaRDI QIDQ1983368

George Awiakye-Marfo, Patrick O. Weke, Joseph Mung'atu

Publication date: 10 September 2021

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/6671515

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• M-Procedures for Detection of Changes for Dependent Observations
• PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS
• Changepoints in times series of counts

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