Sequential change point detection in ARMA-GARCH models

DOI10.1080/00949655.2020.1734807zbMath1495.62062OpenAlexW3009557653MaRDI QIDQ5107788

Jiwon Kang, Junmo Song

Publication date: 28 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1734807

zbMATH Keywords

ARMA-GARCH modelssequential change detectionscore based testsequential test for parameter change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items (2)

Real-time detection of a change-point in a linear expectile model ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach

Cites Work

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