Testing and Locating Variance Changepoints with Application to Stock Prices-Reference-Cited by-同舟云学术

Testing and Locating Variance Changepoints with Application to Stock Prices

Published:1997-06 Issue:438 Volume:92 Page:739-747
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

Chen Jie,Gupta A. K.

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/01621459.1997.10474026

Reference26 articles.

1. Akaike, H. “Information Theory and an Extension of the Maximum Likelihood Principle,”. Proceedings of the 2nd International Symposium of Information Theory. Edited by: Petrov, B. N. and Csaki, E. pp.267–281. Budapest: Akademiai Kiado.

2. Likelihood procedure for testing change point hypothesis for multivariate Gaussian model

3. Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time

4. An Adaptive Regression Model

5. A limit theorem for the maximum of normalized sums of independent random variables

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