Multiscale local change point detection with applications to value-at-risk
type: Item
instance of: scholarly article
title: Multiscale local change point detection with applications to value-at-risk
zbMATH Open document ID: 1160.62084
DOI: 10.1214/08-AOS612
author: V. G. Spokoiny
published in: The Annals of Statistics
publication date: 2009-05-20T00:00:00Z
full work available at URL: https://arxiv.org/abs/0906.1698
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 5555709
zbMATH Keywords: volatility model
zbMATH Keywords: adaptive estimation
zbMATH Keywords: local homogeneity
MaRDI profile type: Publication
arXiv ID: 0906.1698
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OpenAlex ID: W3101461704
description: scientific article