Change points in heavy‐tailed multivariate time series: Methods using precision matrices

DOI10.1002/asmb.2373zbMath1436.62490OpenAlexW2887557474MaRDI QIDQ5213968

Ivor Cribben

Publication date: 6 February 2020

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2373

zbMATH Keywords

financial time serieschange point analysisgraphical Lassostability selectiontlasso

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Nonparametric Anomaly Detection on Time Series of Graphs

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