Segmenting mean-nonstationary time series via trending regressions

DOI10.1016/j.jeconom.2012.02.003zbMath1443.62425OpenAlexW1983744212MaRDI QIDQ527952

Marie Hušková, Alexander Aue, Lajos Horváth

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000590

zbMATH Keywords

Gaussian processesresamplingpolynomial regressionlinear modelsGumbel distributionchange-point analysisextreme value asymptoticscircular bootstraptrending regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items

Detecting at‐Most‐m Changes in Linear Regression Models, Detecting change structures of nonparametric regressions, Estimating change points in nonparametric time series regression models, Extensions of some classical methods in change point analysis, A multi-scale approach for testing and detecting peaks in time series, Structural breaks in time series

Uses Software

• astsa

Cites Work

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