Monitoring parameter change in time series models

Okyoung Na, Youngmi Lee and Sangyeol Lee ()

Statistical Methods & Applications, 2011, vol. 20, issue 2, 199 pages

Keywords: Monitoring parameter change; Time series models; Autocovariance of linear processes; GARCH models; Distributional changes (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10260-011-0162-3

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