Cusum of squares-based tests for a change in persistence

Journal of Time Series Analysis

Volumn 28, Issue 3, 2007, Pages 408-433

  Leybourne, Stephen ^a   Taylor, Robert ^a   Kim, Tae Hwan ^a  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Brownian motion; Persistence change; Sequential sample variance

Indexed keywords

EID: 34247386379     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00517.x     Document Type: Article

References (13)

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