Confidence Sets for the Date of a Structural Change at the End of a Sample

DOI10.1111/JTSA.12404zbMath1407.62257OpenAlexW2801024438MaRDI QIDQ4556514

Eiji Kurozumi

Publication date: 16 November 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12404

zbMATH Keywords

structural changecoverage ratesubsampling method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05)

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