Citations (11)
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Yuqin Sun, Yawen Wang, Yan Li & Wei Zhu. (2023) Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs. Communications in Statistics - Theory and Methods 52:24, pages 8677-8695.
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M. Xu, Y. Wu & B. Jin. (2019) Detection of a change-point in variance by a weighted sum of powers of variances test. Journal of Applied Statistics 46:4, pages 664-679.
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Jaehee Kim & Sooyoung Cheon. (2014) Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model. Journal of Applied Statistics 41:10, pages 2157-2177.
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S Cook & N Manning. (2004) Unit Root Testing Using Heteroscedasticity Consistent Covariance Matrix Estimators: Finite- Sample Evidence. Studies in Economics and Econometrics 28:3, pages 27-41.
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Yuzhi Cai & Neville Davies. (2003) Monitoring the parameter changes in general ARIMA time series models. Journal of Applied Statistics 30:9, pages 983-1001.
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Jiahui Wang & Eric Zivot. (2000) A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance. Journal of Business & Economic Statistics 18:3, pages 374-386.
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Articles from other publishers (4)
Mehmet ÇINAR & Atilla HEPKORUCU. (2018) DÜŞÜK FREKANSTA İNCELENEN FİNANSAL VARLIKLARIN OYNAKLIK KIRILMALARININ DEĞERLENDİRİLMESİ: BİST-100 ENDEKSİ ÜZERİNE BİR UYGULAMA. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD) 10:18, pages 1-11.
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Huihui Shen. (2016) The Detection and Empirical Study of Variance Change Points on Housing Prices <br/>—Taking Wuhan City Commodity Prices as an Example. Journal of Mathematical Finance 06:05, pages 699-710.
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Loukia Meligkotsidou, Elias Tzavalis & Ioannis D. Vrontos. (2006) Bayesian Analysis of Autoregressive Models With Multiple Structural Breaks. SSRN Electronic Journal.
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Adam Check & Jeremy M. Piger. (2018) Structural Breaks in U.S. Macroeconomic Time Series: A Bayesian Model Averaging Approach. SSRN Electronic Journal.
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