An efficient algorithm for estimating a change-point
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference23 articles.
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3. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986
4. Testing and locating variance changepoints with applications to stock prices;Chen;J. Amer. Statist. Assoc.,1997
5. Probability Theory: Independence, Interchangeability, Martingales;Chow,1997
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