Multiscale local change point detection with applications to value-at-risk
نویسندگان
چکیده
منابع مشابه
Multiscale Local Change Point Detection with Applications to Value - at - Risk
This paper offers a new approach to modeling and forecasting of nonstationary time series with applications to volatility modeling for financial data. The approach is based on the assumption of local homogeneity: for every time point, there exists a historical interval of homogeneity, in which the volatility parameter can be well approximated by a constant. The proposed procedure recovers this ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2009
ISSN: 0090-5364
DOI: 10.1214/08-aos612