Covariance changes detection in multivariate time series
نویسندگان
چکیده
منابع مشابه
Break Detection in the Covariance Structure of Multivariate Time Series Models∗ by Alexander Aue
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to many of the multivariate GARCH models established in the literature and also works well in the case of high dimensionality of the underlying data. Since it i...
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In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to many of the multivariate GARCH models established in the literature, and also works well in the case of high dimensionality of the underlying data. Since it ...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2007
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2005.09.003