Computational approximation of the likelihood ratio for testing the existence of change-points in a heteroscedastic series

DOI10.1080/00949655.2012.663373zbMath1453.62630OpenAlexW2008074030MaRDI QIDQ5218881

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Publication date: 6 March 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2012.663373

zbMATH Keywords

maximum likelihood estimationnumerical approximationchange-point estimationquadratic penalizationheteroscedastic temporal series

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Point estimation (62F10) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites Work

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