Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
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Publication:6190740
DOI10.1080/07350015.2022.2120485OpenAlexW4295860407MaRDI QIDQ6190740
Lorenzo Trapani, Lajos Horváth
Publication date: 6 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://figshare.com/articles/journal_contribution/Changepoint_detection_in_heteroskedastic_Random_Coefficient_Autoregressive_models/21028429
heteroscedasticitynonstationarityrandom coefficient autoregressionchangepoint problemweighted CUSUM process
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