Multiple breaks detection in general causal time series using penalized quasi-likelihood

Jean-Marc Bardet, William Kengne, Olivier Wintenberger

20 Citations (Scopus)
Original languageEnglish
JournalElectronic Journal of Statistics
Volume6
Pages (from-to)435-477
ISSN1935-7524
DOIs
Publication statusPublished - 2012

Keywords

  • Change detection
  • causal processes
  • ARCH(infinity) processes
  • AR(infinity) processes
  • quasi-maximum likelihood estimator
  • model selection by penalized likelihood

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