Sequential change-point detection in time series models based on pairwise likelihood

DOI10.5705/ss.202015.0359zbMath1369.62231OpenAlexW2573128781MaRDI QIDQ2977517

Wai Leong Ng, Chun Yip Yau, Sze Him Leung

Publication date: 18 April 2017

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

Full work available at URL: https://semanticscholar.org/paper/1611f6f637ff6945af64bd558e5834dff8a0e682

zbMATH Keywords

stochastic volatilityPoisson regression modelcomposite likelihoodquickest detectionsequential monitoringon-line detection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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