The use of temporally aggregated data in modeling and testing a variance change in a time series

DOI10.1080/03610918.2021.1928197OpenAlexW3167729394MaRDI QIDQ6073576

William W. S. Wei, Bu Hyoung Lee

Publication date: 18 September 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1928197

zbMATH Keywords

stationarityARMA modeltemporal aggregationvariance changeCUSUMSQ test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

The use of aggregate time series for testing conditional heteroscedasticity

Cites Work

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