IDEAS home Printed from https://ideas.repec.org/a/spr/metrik/v31y1984i1p183-194.html
   My bibliography  Save this article

Inferences about the parameters of a time series model with changing variance

Author

Listed:
  • B. Abraham
  • W. Wei

Abstract

No abstract is available for this item.

Suggested Citation

  • B. Abraham & W. Wei, 1984. "Inferences about the parameters of a time series model with changing variance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 183-194, December.
    • Handle: RePEc:spr:metrik:v:31:y:1984:i:1:p:183-194
    DOI: 10.1007/BF01915199
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF01915199
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/BF01915199?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bovas Abraham & George E. P. Box, 1978. "Linear Models and Spurious Observations," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 27(2), pages 131-138, June.
    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. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
    2. De Gooijer, Jan G., 2006. "Detecting change-points in multidimensional stochastic processes," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1892-1903, December.
    3. Galeano, Pedro & Peña, Daniel, 2004. "Variance changes detection in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS ws041305, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Baisuo Jin & Mong-Na Lo Huang & Baiqi Miao, 2011. "Testing for variance changes in autoregressive models with unknown order," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(5), pages 927-936, January.
    5. Wenzhi Zhao & Zheng Tian & Zhiming Xia, 2010. "Ratio test for variance change point in linear process with long memory," Statistical Papers, Springer, vol. 51(2), pages 397-407, June.

    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. Guttman, Irwin & Peña, Daniel, 1992. "A Bayesian look at diagnostics in the univariate linear model," UC3M Working papers. Economics 2831, Universidad Carlos III de Madrid. Departamento de Economía.
    2. Justel, Ana & Peña, Daniel & Sánchez, María Jesús, 1994. "Grupos atípicos en modelos econométricos," DES - Documentos de Trabajo. Estadística y Econometría. DS 10755, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Peña, Daniel & Tiao, George C., 1991. "Bayesian outliers functions for linear models," UC3M Working papers. Economics 5816, Universidad Carlos III de Madrid. Departamento de Economía.
    4. Justel, A. & Peña, Daniel, 1998. "Heterogeneity and model uncertainty in bayesian regression models," DES - Working Papers. Statistics and Econometrics. WS 6260, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Hans, Christopher M. & Peruggia, Mario & Wang, Junyan, 2023. "Empirical Bayes Model Averaging with Influential Observations: Tuning Zellner’s g Prior for Predictive Robustness," Econometrics and Statistics, Elsevier, vol. 27(C), pages 102-119.
    6. Hamura, Yasuyuki & Irie, Kaoru & Sugasawa, Shonosuke, 2022. "Log-regularly varying scale mixture of normals for robust regression," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).

    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:spr:metrik:v:31:y:1984:i:1:p:183-194. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.