Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/233356
Title: | Detecting changes in the dependence structure of a time series |
Authors: | Dürre, A. Fried, R. |
Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Кибернетика |
Issue Date: | 2019 |
Publisher: | Minsk : BSU |
Citation: | Computer Data Analysis and Modeling: Stochastics and Data Science : Proc. of the Twelfth Intern. Conf., Minsk, Sept. 18-22, 2019. – Minsk : BSU, 2019. – P. 21-28. |
Abstract: | We propose a new robust test to detect changes in the dependence structure of a time series. The test is based on empirical autocovariances of a robust transformation of the original time series. Because of the transformation we do not require any finite moments of the original time series making the test especially suitable for heavy tailed time series. We furthermore propose a lag weighting scheme which puts emphasis on changes of the autocorrelation at smaller lags. Our approach is compared to existing ones in some simulations. |
URI: | http://elib.bsu.by/handle/123456789/233356 |
ISBN: | 978-985-566-811-5 |
Appears in Collections: | 2019. Computer Data Analysis and Modeling : Stochastics and Data Science |
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