Dynamic Detection of Change Points in Long Time Series
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 59 (2007)
Issue (Month): 2 (June)
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Web page: http://www.springerlink.com/link.asp?id=102845
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nicolas Chopin, 2000.
"A Sequential Particle Filter Method for Static Models,"
2000-45, Centre de Recherche en Economie et Statistique.
- Nicolas Chopin, 2002. "A sequential particle filter method for static models," Biometrika, Biometrika Trust, vol. 89(3), pages 539-552, August.
- Godsill, Simon J. & Doucet, Arnaud & West, Mike, 2004. "Monte Carlo Smoothing for Nonlinear Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 156-168, January.
- 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, vol. 123(2), pages 327-344, December.
- 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.
- Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
- 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.
- Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, EconWPA.
- Zhongfang He & John M. Maheu, 2009.
"Real Time Detection of Structural Breaks in GARCH Models,"
09-31, Bank of Canada.
- He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
- Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Working Paper Series 11_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- Zhongfang He & John M Maheu, 2008. "Real Time Detection of Structural Breaks in GARCH Models," Working Papers tecipa-336, University of Toronto, Department of Economics.
- Chopin, N. & Del Moral, P. & Rubenthaler, S., 2011.
"Stability of Feynman-Kac formulae with path-dependent potentials,"
Stochastic Processes and their Applications,
Elsevier, vol. 121(1), pages 38-60, January.
- 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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