Break detection in the covariance structure of multivariate time series models

Annals of Statistics

Volumn 37, Issue 6 B, 2009, Pages 4046-4087

  Aue, Alexander ^a   Hörmann, Siegfried ^b   Horváth, Lajos ^b   Reimherr, Matthew ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF UTAH   (United States)

^c UNIVERSITY OF CHICAGO   (United States)

Author keywords

Change points; Covariance; Functional central limit theorem; Multivariate GARCH models; Multivariate time series; Structural breaks

Indexed keywords

EID: 73949121215     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/09-AOS707     Document Type: Article

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