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Dynamic Detection of Change Points in Long Time Series

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  • Nicolas Chopin

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File URL: http://hdl.handle.net/10.1007/s10463-006-0053-9
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Bibliographic Info

Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 59 (2007)
Issue (Month): 2 (June)
Pages: 349-366

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Handle: RePEc:spr:aistmt:v:59:y:2007:i:2:p:349-366

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Web page: http://www.springerlink.com/link.asp?id=102845

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Related research

Keywords: Change point models; GARCH models; Markov chain Monte Carlo; Particle filter; Sequential Monte Carlo; State state models;

References

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  1. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, Elsevier, vol. 86(2), pages 221-241, June.
  2. Nicolas Chopin, 2002. "A sequential particle filter method for static models," Biometrika, Biometrika Trust, Biometrika Trust, vol. 89(3), pages 539-552, August.
  3. Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics, EconWPA 0412005, EconWPA.
  4. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, Elsevier, vol. 123(2), pages 327-344, December.
  5. Rong Chen & Jun S. Liu, 2000. "Mixture Kalman filters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(3), pages 493-508.
  6. Godsill, Simon J. & Doucet, Arnaud & West, Mike, 2004. "Monte Carlo Smoothing for Nonlinear Time Series," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 99, pages 156-168, January.
  7. Nicolas Chopin, 2002. "Central Limit Theorem for Sequential Monte Carlo Methods and its Applications to Bayesian Inference," Working Papers 2002-44, Centre de Recherche en Economie et Statistique.
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Cited by:
  1. Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Working Papers 09-31, Bank of Canada.
  2. Nicolas CHOPIN & Pierre DEL MORAL & Sylvain RUBENTHALER, 2010. "Stability of Feynman-Kac Formulae with Path-dependent Potentials," Working Papers 2010-03, Centre de Recherche en Economie et Statistique.

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