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Locally adaptive estimation methods with application to univariate time series

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  • Mstislav Elagin

Abstract

The paper offers a unified approach to the study of three locally adaptive estimation methods in the context of univariate time series from both theoretical and empirical points of view. A general procedure for the computation of critical values is given. The underlying model encompasses all distributions from the exponential family providing for great flexibility. The procedures are applied to simulated and real financial data distributed according to the Gaussian, volatility, Poisson, exponential and Bernoulli models. Numerical results exhibit a very reasonable performance of the methods.

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  • Mstislav Elagin, 2008. "Locally adaptive estimation methods with application to univariate time series," Papers 0812.0449, arXiv.org.
  • Handle: RePEc:arx:papers:0812.0449
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    File URL: http://arxiv.org/pdf/0812.0449
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    References listed on IDEAS

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    8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    11. Thomas Mikosch & Catalin Starica, 2004. "Changes of structure in financial time series and the GARCH model," Econometrics 0412003, EconWPA.
    12. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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