A general procedure for change-point detection in multivariate time series-Reference-Cited by-同舟云学术

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A general procedure for change-point detection in multivariate time series

Published:2022-07-21 Issue:1 Volume:32 Page:1-33
ISSN:1133-0686
Container-title:TEST
language:en
Short-container-title:TEST

Author:

Diop Mamadou Lamine,Kengne William^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11749-022-00824-z.pdf

Reference42 articles.

1. Ahmad A (2016) Contribution à l’économétrie des séries temporelles à valeurs entières. Ph.D. Thesis, Université de Lille

2. Ahmad A, Francq C (2016) Poisson QMLE of count time series models. J Time Ser Anal 37(3):291–314

3. Aknouche A, Francq C (2021) Count and duration time series with equal conditional stochastic and mean orders. Economet Theor 37(2):248–280

4. Aknouche A, Bendjeddou S, Touche N (2018) Negative binomial quasi-likelihood inference for general integer-valued time series models. J Time Ser Anal 39(2):192–211

5. Bardet JM, Wintenberger O (2009) Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes. Ann Stat 37(5B):2730–2759

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