Detection of Multiple Structural Breaks in Multivariate Time Series

DOI10.1080/01621459.2014.920613zbMath1373.62454arXiv1309.1309OpenAlexW2118607090MaRDI QIDQ5367389

Ruprecht Puchstein, Philip Preuss, Dette, Holger

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.1309

zbMATH Keywords

empirical processmultivariate time seriesCUSUM testnonparametric procedurenonparametric spectral estimates

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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