Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
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- Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
References listed on IDEAS
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Cited by:
- Sean Jewell & Paul Fearnhead & Daniela Witten, 2022. "Testing for a change in mean after changepoint detection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1082-1104, September.
- Li Cai & Lisha Li & Simin Huang & Liang Ma & Lijian Yang, 2020. "Oracally efficient estimation for dense functional data with holiday effects," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 282-306, March.
- Qin Shao & Lijian Yang, 2017. "Oracally efficient estimation and consistent model selection for auto-regressive moving average time series with trend," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 507-524, March.
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- G0 - Financial Economics - - General
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