Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap

Cites Work

Parameter change test for autoregressive conditional duration models
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
Empirical likelihood test in a posteriori change-point nonlinear model
Bootstrap methods: another look at the jackknife
Bootstrap of kernel smoothing in nonlinear time series
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
Testing for parameter constancy in GARCH\((p,q)\) models
Bootstraps for time series
On score vector- and residual-based CUSUM tests in ARMA-GARCH models
Change detection in autoregressive time series
On the detection of changes in autoregressive time series. II: Resampling procedures
Estimation of change-points in linear and nonlinear time series models
Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity
Testing for parameter stability in nonlinear autoregressive models
Testing for parameter constancy in general causal time-series models
Parameter Change Test for Poisson Autoregressive Models
A test for a change in a parameter occurring at an unknown point
Stability of nonlinear AR-GARCH models
Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
On the Cusum test for parameter changes in garch(1,1) Models
BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
The Cusum Test for Parameter Change in Time Series Models
Bootstrap test for change-points in nonparametric regression
Changepoints in times series of counts
The impact of bootstrap methods on time series analysis

This page was built for publication: Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6574635)