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Hybrid CUSUM Change Point Test for Time Series with Time-Varying Volatilities Based on Support Vector Regression
This study considers the problem of detecting a change in the conditional variance of time series with time-varying volatilities based on the cumulative sum (CUSUM) of squares test using the residuals from support vector regression (SVR)-generalized autoregressive conditional heteroscedastic (GARCH)...
שמור ב:
| הוצא לאור ב: | Entropy (Basel) |
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| Main Authors: | , , |
| פורמט: | Artigo |
| שפה: | Inglês |
| יצא לאור: |
MDPI
2020
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| נושאים: | |
| גישה מקוונת: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7517100/ https://ncbi.nlm.nih.gov/pubmed/33286350 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e22050578 |
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