Change point tests in functional factor models with application to yield curves

DOI10.1111/ectj.12075OpenAlexW2530616064MaRDI QIDQ5093950

Lajos Horváth, Patrick Bardsley, Gabriel Young, Piotr S. Kokoszka

Publication date: 2 August 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12075

zbMATH Keywords

yield curvechange pointfunctional time series

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (8)

Frequency domain theory for functional time series: variance decomposition and an invariance principle ⋮ Inference in functional factor models with applications to yield curves ⋮ Tempered functional time series ⋮ Factor models for high‐dimensional functional time series I: Representation results ⋮ Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models ⋮ Testing Stability in Functional Event Observations with an Application to IPO Performance ⋮ Monitoring for a change point in a sequence of distributions ⋮ Change point analysis of covariance functions: a weighted cumulative sum approach

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