Multiple-change-point detection for auto-regressive conditional heteroscedastic processes

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 76, Issue 5, 2014, Pages 903-924

  Fryzlewicz, P ^a   Subba Rao, S ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b TEXAS A AND M UNIVERSITY   (United States)

Author keywords

Binary segmentation; Cumulative sum; Mixing; Non stationary time series; Process transformation; Unbalanced Haar wavelets

Indexed keywords

EID: 84908220300     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/rssb.12054     Document Type: Article

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