Changepoint estimation for dependent and non-stationary panels.

DOI10.21136/AM.2020.0296-19OpenAlexW3031754953MaRDI QIDQ778562

Barbora Peštová, Matúš Maciak, Michal Pešta

Publication date: 2 July 2020

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21136/am.2020.0296-19

zbMATH Keywords

changepointestimationpanel datadependencenon-stationaritycall optionsnon-life insurancechange in means

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (7)

Isolating changed panels and estimating common change point after sequential detection with FDR control ⋮ Investment disputes and their explicit role in option market uncertainty and overall risk instability ⋮ Editorial for the special issue: Change point detection ⋮ Changepoint in dependent and non-stationary panels ⋮ Implied Volatility Surface Estimation via Quantile Regularization ⋮ Infinitely stochastic micro reserving ⋮ Changepoint estimation for dependent and non-stationary panels.

Cites Work

• Common breaks in means and variances for panel data
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Changepoint estimation for dependent and non-stationary panels.
• Estimation of heterogeneous panels with structural breaks
• Basic properties of strong mixing conditions. A survey and some open questions
• Detection of structural breaks in linear dynamic panel data models
• Testing structural changes in panel data with small fixed panel size and bootstrap
• Total least squares and bootstrapping with applications in calibration
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Change‐point detection in panel data
• Unnamed Item

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