A Scale‐space Approach for Detecting Non‐stationarities in Time Series

DOI10.1111/j.1467-9469.2006.00556.xzbMath1164.62050OpenAlexW2084236193MaRDI QIDQ3608255

Sigrunn H. Sørbye, Fred Godtliebsen, Lena Ringstad Olsen

Publication date: 28 February 2009

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

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2006.00556.x

zbMATH Keywords

saddlepoint approximationmeanvarianceautocorrelationfalse discovery ratechange-point detectionSiNos

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Estimation and detection in stochastic control theory (93E10) Approximations to statistical distributions (nonasymptotic) (62E17) Nonparametric inference (62G99) Graphical methods in statistics (62A09)

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