Covariance changes detection in multivariate time series

60 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD (2011, background): “Whereas Galeano and Peña (2007) operate in a parametric setting, the Aue et al. (2009) approach is quite similar to ours.”
Heteroscedasticity and Autocorrelation Robust Structural Change Detection (2013, background): “…the spectrum, Inclán and Tiao (1994) and Lee and Park (2001) for change point detection in marginal variance, Berkes, Gombay, and Horváth (2009) and Galeano and Pena (2007) for change detection in the autocovariance function, and Brown, Durbin, and Evans (1975), Davis, Huang, and Yao (1995),…”
Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2008, methodology): “We note in the simulations that the performance of the ALS estimator based on ( 12 ) is dominated”