Forecasting and change point test for nonlinear heteroscedastic time series based on support vector regression

SVR-ARMA-GARCH models provide flexible model fitting and good predictive powers for nonlinear heteroscedastic time series datasets. In this study, we explore the change point detection problem in the SVR-ARMA-GARCH model using the residual-based CUSUM test. For this task, we propose an alternating r...

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Detalles Bibliográficos
Autores principales: Wang, HsinKai, Guo, Meihui, Lee, Sangyeol, Chua, Cheng-Han
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9803251/
https://www.ncbi.nlm.nih.gov/pubmed/36584161
http://dx.doi.org/10.1371/journal.pone.0278816

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9803251/
https://www.ncbi.nlm.nih.gov/pubmed/36584161
http://dx.doi.org/10.1371/journal.pone.0278816

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