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Break detection in the covariance structure of multivariate time series
  models

Break detection in the covariance structure of multivariate time series models

19 November 2009
Alexander Aue
Siegfried Hormann
Lajos Horváth
M. Reimherr
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Papers citing "Break detection in the covariance structure of multivariate time series models"

2 / 2 papers shown
Title
Minimax rates in variance and covariance changepoint testing
Minimax rates in variance and covariance changepoint testing
Per August Jarval Moen
27
0
0
13 May 2024
A Global Wavelet Based Bootstrapped Test of Covariance Stationarity
A Global Wavelet Based Bootstrapped Test of Covariance Stationarity
Jonathan B. Hill
Tianqi Li
8
1
0
25 Oct 2022
1