Generalized threshold latent variable model

DOI10.1214/19-EJS1571zbMath1427.62100OpenAlexW2952056686WikidataQ127630451 ScholiaQ127630451MaRDI QIDQ2002582

Yuanbo Li, Xunze Zheng, Chun Yip Yau

Publication date: 12 July 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1561168838

zbMATH Keywords

time seriesergodicitygenetic algorithmcompound Poisson processminimum description length principlemultiple-thresholdpiecewise modeling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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