搜索结果: 1-2 共查到“统计学 Changes”相关记录2条 . 查询时间(0.12 秒)
A Robust Bayesian Dynamic Linear Model to Detect Abrupt Changes in an Economic Time Series: The Case of Puerto Rico
Dynamic Models Consumer Price Index Bayesian Robustness
2013/4/28
Economic indicators time series are usually complex with high frequency data. The traditional time series methodology requires at least a preliminary transformation of the data to get stationarity. On...
CHANGES OF STRUCTURE IN FINANCIAL TIME SERIES AND THE GARCH MODEL
integrated periodogram spectral distribution functional central limit theorem Kiefer-Muller process Brownian bridge sample autocorrelation change point GARCH process long range dependence IGARCH non-stationarity
2009/2/26
In this paper we propose a goodness of fit test that checks the resemblance of the spectral density of a GARCH process to that of the log-returns. The asymptotic behavior of the test statistics are gi...