Adaptive parametric change point inference under covariance structure changes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00362-023-01495-0.pdf
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3. Anderson TW (2003) An introduction to multivariate statistical analysis, 3rd Ed. Wiley InterScience
4. Aue A, Horváth L (2013) Structural breaks in time series. J Time Ser Anal 34:1–16
5. Aue A, Hörmann S, Horváth L, Reimherr M (2009) Break detection in the covariance structure of multivariate time series models. Ann Stat 37:4046–4087
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