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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)...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517100/ https://www.ncbi.nlm.nih.gov/pubmed/33286350 http://dx.doi.org/10.3390/e22050578 |