Inferences about the parameters of a time series model with changing variance

DOI10.1007/BF01915199zbMath0542.62078MaRDI QIDQ795457

William W. S. Wei, Bovas Abraham

Publication date: 1984

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/175948

zbMATH Keywords

posterior distributionsvariance ratiochange point problemtime series modeldiscrete variance change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

A Bayesian Analysis of a Structural Change in the Parameters of a Time Series ⋮ Adaptive estimation of autoregressive models with time-varying variances ⋮ Covariance changes detection in multivariate time series ⋮ Testing for variance changes in autoregressive models with unknown order ⋮ Ratio test for variance change point in linear process with long memory ⋮ Ratio test to detect change in the variance of linear process ⋮ Detecting change-points in multidimensional stochastic processes ⋮ An asymptotic test for constancy of the variance under short-range dependence ⋮ Confidence distributions for skew normal change-point model based on modified information criterion

Cites Work

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• Linear Models and Spurious Observations
• Intervention Analysis with Applications to Economic and Environmental Problems
• Bayesian analysis of some outlier problems in time series
• Inference in Two-Phase Regression
• A New Approach to Estimating Switching Regressions

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