Conditional quantile change test for time series based on support vector regression

DOI10.1080/03610918.2021.1992436OpenAlexW3208771376MaRDI QIDQ6141736

Sangyeol Lee, Chang Kyeom Kim

Publication date: 23 January 2024

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

Full work available at URL: https://doi.org/10.1080/03610918.2021.1992436

zbMATH Keywords

quantile regressionsupport vector regressionchange point detectionresidual CUSUM testtime series with heteroscedastic volatilities

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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