IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v39y2002i4p477-501.html

An analysis of the influence of some prior specifications in the identification of change points via product partition model

Author

Listed:
  • Loschi, R. H.
  • Cruz, F. R. B.

Abstract

No abstract is available for this item.

Suggested Citation

  • Loschi, R. H. & Cruz, F. R. B., 2002. "An analysis of the influence of some prior specifications in the identification of change points via product partition model," Computational Statistics & Data Analysis, Elsevier, vol. 39(4), pages 477-501, June.
    • Handle: RePEc:eee:csdana:v:39:y:2002:i:4:p:477-501
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(01)00095-0
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Yao, Yi-Ching, 1988. "Estimating the number of change-points via Schwarz' criterion," Statistics & Probability Letters, Elsevier, vol. 6(3), pages 181-189, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chai, Jian & Lu, Quanying & Hu, Yi & Wang, Shouyang & Lai, Kin Keung & Liu, Hongtao, 2018. "Analysis and Bayes statistical probability inference of crude oil price change point," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 271-283.
    2. Loschi, R.H. & Cruz, F.R.B., 2005. "Extension to the product partition model: computing the probability of a change," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 255-268, February.
    3. Singh, Saroja Kumar & Cruz, Gabriel M.B. & Cruz, Frederico R.B., 2024. "Change point estimation of service rate in M/M/1/m queues: A Bayesian approach," Applied Mathematics and Computation, Elsevier, vol. 465(C).
    4. Loschi, R.H. & Iglesias, P.L. & Arellano-Valle, R.B. & Cruz, F.R.B., 2007. "Full predictivistic modeling of stock market data: Application to change point problems," European Journal of Operational Research, Elsevier, vol. 180(1), pages 282-291, July.
    5. Rosangela Loschi & Leonardo Bastos & Pilar Iglesias, 2005. "Identifying Volatility Clusters Using the PPM: A Sensitivity Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 24(4), pages 305-319, June.
    6. Chai Jian & Wang Shubin & Xiao Hao, 2013. "Abrupt Changes of Global Oil Price," Journal of Systems Science and Information, De Gruyter, vol. 1(1), pages 38-59, February.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ferreira, Pedro Cavalcanti & Galvao Jr., Antonio F. & Gomes, Fabio Augusto Reis & Pessoa, Samuel de Abreu, 2010. "The effects of external and internal shocks on total factor productivity," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 298-309, August.
    2. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
    3. Ninomiya, Yoshiyuki, 2005. "Information criterion for Gaussian change-point model," Statistics & Probability Letters, Elsevier, vol. 72(3), pages 237-247, May.
    4. Haeran Cho & Claudia Kirch, 2022. "Two-stage data segmentation permitting multiscale change points, heavy tails and dependence," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 653-684, August.
    5. Wang, Lu & Zhou, Ruichao & Wu, Jianhong, 2021. "Determining the number of breaks in large dimensional factor models with structural changes," Economics Letters, Elsevier, vol. 199(C).
    6. Jamel Jouini, 2009. "Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 91-110.
    7. Wallin, Gabriel & Chen, Yunxiao & Lee, Yi-Hsuan & Li, Xiaoou, 2025. "A latent variable model with change-points and its application to time pressure effects in educational assessment," LSE Research Online Documents on Economics 128070, London School of Economics and Political Science, LSE Library.
    8. Hayley Jang & Young Hoon Lee & Rodney Fort, 2019. "Winning In Professional Team Sports: Historical Moments," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 103-120, January.
    9. Bajo-Rubio, Oscar & Diaz-Roldan, Carmen & Esteve, Vicente, 2007. "Change of regime and Phillips curve stability: The case of Spain, 1964-2002," Journal of Policy Modeling, Elsevier, vol. 29(3), pages 453-462.
    10. repec:qut:auncer:2013_01 is not listed on IDEAS
    11. Gil-Alana, Luis A. & Dadgar, Yadollah & Nazari, Rouhollah, 2020. "An analysis of the OPEC and non-OPEC position in the World Oil Market: A fractionally integrated approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    12. Essahbi Essaadi & Mohamed Boutahar, 2010. "A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach," Economics Bulletin, AccessEcon, vol. 30(2), pages 1054-1070.
    13. McGonigle, Euan T. & Cho, Haeran, 2023. "Robust multiscale estimation of time-average variance for time series segmentation," Computational Statistics & Data Analysis, Elsevier, vol. 179(C).
    14. Altansukh, Gantungalag & Becker, Ralf & Bratsiotis, George J. & Osborn, Denise R., 2017. "What is the Globalisation of Inflation?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 74, pages 1-27.
    15. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    16. Sergio Adriani David & Claudio M. C. Inácio & José A. Tenreiro Machado, 2019. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship," Mathematics, MDPI, vol. 7(9), pages 1-25, August.
    17. Lee, Chung-Bow, 1996. "Nonparametric multiple change-point estimators," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 295-304, May.
    18. Camarero, Mariam & Tamarit, Cecilio, 2002. "Instability tests in cointegration relationships. An application to the term structure of interest rates," Economic Modelling, Elsevier, vol. 19(5), pages 783-799, November.
    19. Ikhlaas Gurrib & Firuz Kamalov & Elgilani E. Alshareif, 2022. "High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 441-456, September.
    20. Shi, Xuesheng & Gallagher, Colin & Lund, Robert & Killick, Rebecca, 2022. "A comparison of single and multiple changepoint techniques for time series data," Computational Statistics & Data Analysis, Elsevier, vol. 170(C).
    21. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:39:y:2002:i:4:p:477-501. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.