Perpetuities and asymptotic change-point analysis
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References listed on IDEAS
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Rukhin Andrew L., 1997. "Change-Point Estimation Under Asymmetric Loss," Statistics & Risk Modeling, De Gruyter, vol. 15(2), pages 141-164, February.
- Horváth, Lajos, 1989. "The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability," Journal of Multivariate Analysis, Elsevier, vol. 31(1), pages 148-159, October.
- Lumsdaine, Robin L, 1996. "Consistency and Asymptotic Normality of the Quasi-maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models," Econometrica, Econometric Society, vol. 64(3), pages 575-596, May.
More about this item
KeywordsChange-point problem Geometric distribution Excursions Laplace transform Perpetuities Random walk;
StatisticsAccess and download statistics
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