Selective Linear Segmentation for Detecting Relevant Parameter Changes.

Change-point (CP) processes are one flexible approach to model long time series. We propose a method to uncover which model parameters truly vary when a CP is detected. Given a set of breakpoints, we use a penalized likelihood approach to select the best set of parameters that changes over time and...

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Publicado en:	Journal of Financial Econometrics Vol. 20; no. 4; pp. 762 - 806
Autores principales:	Dufays, Arnaud, Houndetoungan, Elysee Aristide, Coën, Alain
Formato:	Artículo
Publicado:	Oxford University Press / USA Fall2022
Materias:	Monte Carlo method Hedge funds Expectation-maximization algorithms Simulated annealing Time series analysis Accounting methods
Acceso en línea:	Ver este registro en EBSCOhost