Break detection for a class of nonlinear time series models

Journal of Time Series Analysis

Volumn 29, Issue 5, 2008, Pages 834-867

  Davis, Richard A ^b   Lee, Thomas C M ^a,b   Rodriguez Yam, Gabriel A ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b Och Spine at New York Presbyterian Hospitals

Author keywords

Generalized autoregressive conditionally heteroscedastic process; Genetic algorithm; Minimum description length principle; Model selection; Multiple change point; Non stationary time series; State space models; Stochastic volatility model

Indexed keywords

EID: 49549085281     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2008.00585.x     Document Type: Article

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