Detection of Multiple Structural Breaks in Multivariate Time Series
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/01621459.2014.920613
Reference35 articles.
1. Time-Dependent Spectral Analysis of Nonstationary Time Series
2. Break detection in the covariance structure of multivariate time series models
3. LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
4. Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence
5. A bootstrap test for time series linearity
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