Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form

Statistica Sinica ◽

10.5705/ss.202021.0029 ◽

2023 ◽

Author(s):

Feiyu Jiang ◽

Dong Li ◽

Wai Keung Li ◽

Ke Zhu

Keyword(s):

Time Series ◽

Structural Change ◽

Covariance Matrix ◽

Multiplicative Form

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Structural Change Point Detection Method of Time Series Using Sequential Probability Ratio Test

IEEJ Transactions on Electronics Information and Systems ◽

10.1541/ieejeiss.128.583 ◽

2008 ◽

Vol 128 (4) ◽

pp. 583-592 ◽

Author(s):

Hiromichi Kawano ◽

Tetsuo Hattori ◽

Ken Nishimatsu

Keyword(s):

Time Series ◽

Structural Change ◽

Change Point ◽

Detection Method ◽

Sequential Probability Ratio Test ◽

Change Point Detection ◽

Probability Ratio ◽

Sequential Probability ◽

Point Detection

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A Cumulative Sum Algorithm for Detecting Changes in the Covariance Matrix of Multidimensional Time Series

Vestnik MEI ◽

10.24160/1993-6982-2020-3-92-101 ◽

2020 ◽

Vol 3 (3) ◽

pp. 92-101

Author(s):

Gennadiy F. Filaretov ◽

◽

Pavel S. Simonenkov ◽

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Cumulative Sum ◽

Multidimensional Time Series

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Asymptotic Distributions of Functions of the Eigenvalues of the Sample Covariance Matrix and Canonical Correlation Matrix in Multivariate Time Series

10.21236/ada170282 ◽

1986 ◽

Author(s):

M. Taniguchi ◽

P. R. Krishnaiah

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Canonical Correlation ◽

Correlation Matrix ◽

Multivariate Time Series ◽

Asymptotic Distributions ◽

Sample Covariance Matrix ◽

Sample Covariance

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Robust estimation for the covariance matrix of multivariate time series based on normal mixtures

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2012.06.012 ◽

2013 ◽

Vol 57 (1) ◽

pp. 125-140 ◽

Author(s):

Byungsoo Kim ◽

Sangyeol Lee

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Robust Estimation ◽

Multivariate Time Series ◽

Normal Mixtures

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Structural Change Detection of Time Series Using Sequential Probability Ratio Test

10.1109/icbake.2009.56 ◽

2009 ◽

Author(s):

Katsunori Takeda ◽

Tetsuo Hattori ◽

Izumi Tetsuya ◽

Hiromichi Kawano

Keyword(s):

Time Series ◽

Structural Change ◽

Change Detection ◽

Sequential Probability Ratio Test ◽

Probability Ratio ◽

Sequential Probability

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Aggregate Structural Change: Recent Time-Series and Cross-Section Evidence

The Journal of Finance ◽

10.2307/2326238 ◽

1969 ◽

Vol 24 (4) ◽

pp. 736

Author(s):

Lance J. Taylor

Keyword(s):

Time Series ◽

Structural Change ◽

Cross Section ◽

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Analysing the effects of labour standards on US export performance. A time series approach with structural change

Applied Economics ◽

10.1080/0003684032000079161 ◽

2003 ◽

Vol 35 (9) ◽

pp. 1043-1051 ◽

Author(s):

Gabriel Rodríguez ◽

Yiagadeesen Samy

Keyword(s):

Time Series ◽

Structural Change ◽

Export Performance ◽

Labour Standards ◽

Time Series Approach

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Robust Covariance Matrix Estimation in Time Series: A Review

Econometrics and Statistics ◽

10.1016/j.ecosta.2021.12.001 ◽

2021 ◽

Author(s):

Masayuki Hirukawa

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Matrix Estimation

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Structural Change and Time Series Analysis

Statistical Analysis and Forecasting of Economic Structural Change ◽

10.1007/978-3-662-02571-0_17 ◽

1989 ◽

pp. 273-278

Author(s):

Lyle D. Broemeling

Keyword(s):

Time Series ◽

Structural Change ◽

Time Series Analysis ◽

Series Analysis

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Adaptive Estimation and Structural Change in Regression and Time Series Models

Statistical Analysis and Forecasting of Economic Structural Change ◽

10.1007/978-3-662-02571-0_12 ◽

1989 ◽

pp. 191-208 ◽

Author(s):

Johannes Ledolter

Keyword(s):

Time Series ◽

Structural Change ◽

Adaptive Estimation ◽

Time Series Models

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