Nuisance-parameter-free changepoint detection in non-stationary series
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DOI: 10.1007/s11749-019-00659-1
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Cited by:
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- Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.
- Michal Pešta, 2021. "Changepoint in Error-Prone Relations," Mathematics, MDPI, vol. 9(1), pages 1-25, January.
- Cho, Haeran & Fryzlewicz, Piotr, 2023. "Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm," LSE Research Online Documents on Economics 120085, London School of Economics and Political Science, LSE Library.
- Matúš Maciak & Michal Pešta & Barbora Peštová, 2020. "Changepoint in dependent and non-stationary panels," Statistical Papers, Springer, vol. 61(4), pages 1385-1407, August.
- Ishak Alia & Farid Chighoub & Nabil Khelfallah & Josep Vives, 2021. "Time-Consistent Investment and Consumption Strategies under a General Discount Function," JRFM, MDPI, vol. 14(2), pages 1-27, February.
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Keywords
Bootstrap; Changepoint; Hypothesis testing; Non-stationarity; Nuisance parameter; Self-normalized statistic;All these keywords.
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