The split-BREAK model

DOI10.1214/09-BJPS025zbMath1298.62158OpenAlexW2000996197MaRDI QIDQ468012

Vladica S. Stojanović, Biljana Č. Popović, Predrag M. Popović

Publication date: 5 November 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1291387773

zbMATH Keywords

noise-indicatorsplit-BREAK processsplit-MA(1) process

Mathematics Subject Classification ID

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

Related Items (2)

The split-SV model ⋮ Noise-indicator nonnegative integer-valued autoregressive time series of the first order

Cites Work

• Large shocks vs. small shocks. (Or does size matter? May be so.)
• Random coefficient autoregressive models: an introduction
• Approximation Theorems of Mathematical Statistics
• REVERSED RESIDUALS IN AUTOREGRESSIVE TIME SERIES ANALYSIS
• The Lindeberg-Levy Theorem for Martingales
• Durations, volume and the prediction of financial returns in transaction time
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