Nonparametric change-point analysis of volatility
نویسندگان
چکیده
منابع مشابه
Remarks on Nonparametric Test Procedures in Change Point Analysis
The paper concerns nonparametric test procedures for detection of a change in the distribution of a sequence independent observations Their limit properties are presented. 2000 Mathematical Subject Class: 62G20, 62E20, 60G10
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B E RT VA N E S , P E T E R S P R E I J 1 and HARRY VAN ZANTEN 2 Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Plantage Muidergracht 24, 1018 TV Amsterdam, The Netherlands. E-mail: [email protected]; [email protected] Division of Mathematics and Computer Science, Faculty of Sciences, Free University Amsterdam, De Boelelaan 1081a, 1081 HV Amsterdam, The Netherlands...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2017
ISSN: 0090-5364
DOI: 10.1214/16-aos1499