Testing for parameter changes in linear state space models

DOI10.1002/asmb.2636MaRDI QIDQ6579702

Steffen Köhler, Vasyl Golosnoy, Wolfgang Schmid, Miriam Isabel Seifert

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

statistical testsvolatility modelingmultiple time serieslinear state space models

Mathematics Subject Classification ID

Statistics (62-XX)

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