Break detection in the covariance structure of multivariate time series models
type: Item
instance of: scholarly article
title: Break detection in the covariance structure of multivariate time series models
zbMATH Open document ID: 1191.62143
DOI: 10.1214/09-AOS707
author: Alexander Aue
author: Siegfried Hörmann
author: Lajos Horváth
author: Matthew Reimherr
published in: The Annals of Statistics
publication date: 2009-12-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/0911.3796
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60F17
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 62G20
zbMATH DE Number: 5644265
zbMATH Keywords: change-points
zbMATH Keywords: covariance
zbMATH Keywords: functional central limit theorem
zbMATH Keywords: multivariate GARCH models
zbMATH Keywords: multivariate time series
zbMATH Keywords: structural breaks
describes a project that uses: FinTS
MaRDI profile type: Publication
arXiv ID: 0911.3796
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OpenAlex ID: W3098547022
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