Multiple breaks detection in general causal time series using penalized quasi-likelihood

Bardet, Jean-Marc, Kengne, William, Wintenberger, Olivier . Electronic Journal of Statistics 2012. 6 :435-477

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Bibtex

@article{CIS-263221,
  Author = {Bardet, Jean-Marc and Kengne, William and Wintenberger, Olivier},
  Title = {Multiple breaks detection in general causal time series using penalized quasi-likelihood},
  Journal = {Electronic Journal of Statistics},
  Volume = {6},
  Year = {2012},
  Pages = {435--477},
  Keywords = {Gibbs sampler, Posterior simulation, Exchange algorithms, non-decomposable graphs, hyper-inverse Wishart, partial analytic structure, QUASI-MAXIMUM LIKELIHOOD ESTIMATOR, Change detection, causal processes, ARCH(∞) processes, AR(∞) processes, model selection by penalized likelihood}
}

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