New penalty in information criteria for the ARCH sequence with structural changes
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Publication:6548868
DOI10.1002/sta4.612MaRDI QIDQ6548868
Yoshiyuki Ninomiya, Ryoto Ozaki
Publication date: 3 June 2024
Published in: Stat (Search for Journal in Brave)
Brownian motionheteroscedasticityrandom walkAICchange point analysismodel misspecificationTICstatistical asymptotics
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