Structural changes estimation for strongly dependent processes

DOI10.1080/00949655.2011.653643zbMath1453.62644OpenAlexW1980226244MaRDI QIDQ5218917

Pascal Bondon, Li Song

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/10.1080/00949655.2011.653643

zbMATH Keywords

genetic algorithmstructural changenon-stationary time serieslong-memoryminimum description length principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximation methods and heuristics in mathematical programming (90C59) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

Estimation and identification of periodic autoregressive models with one exogenous variable

Uses Software

• LASS
• longmemo

Cites Work

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