مرکز منطقه ای اطلاع رساني علوم و فناوري - Covariance changes detection in multivariate time series

Title of article :

Covariance changes detection in multivariate time series

Author/Authors :

Pedro Galeano، نويسنده , , Daniel Pe?a، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

194

To page :

211

Keywords :

Cusum statistic , VARMA models , Step changes , Likelihood ratio test statistic , Heteroskedasticity

Journal title :

Journal of Statistical Planning and Inference

Serial Year :

2007

Journal title :

Journal of Statistical Planning and Inference

Record number :

220300

Link To Document :