Piecewise quantile autoregressive modeling for nonstationary time series

DOI10.3150/14-BEJ671zbMath1378.62056arXiv1609.08882OpenAlexW3100204771MaRDI QIDQ502853

Thomas C. M. Lee, Rex C. Y. Cheung, Ming Zhong, Alexander Aue

Publication date: 11 January 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.08882

zbMATH Keywords

genetic algorithmautoregressive time seriesstructural breakchange-pointnonstationary time seriesminimum description length principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear inference, regression (62J99)

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