Stochastic change-point ARX-GARCH models and their applications to econometric time series

DOI10.5705/SS.2012.224SzbMath1417.62250OpenAlexW2138898429MaRDI QIDQ2864544

Haipeng Xing, Tze Leung Lai

Publication date: 25 November 2013

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3e61396916c87d53a22b1ace6e7fbfaf4de30e55

zbMATH Keywords

empirical Bayeslong memorysegmentationmultiple change-pointsARX-GARCH modelsrecursive adaptive filters

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (4)

Uncertainty Quantification in Dynamic Image Reconstruction with Applications to Cryo-EM ⋮ Inference for conditional value-at-risk of a predictive regression ⋮ Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund ⋮ Bayesian inference of multiple structural change models with asymmetric GARCH errors

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