Results 21 to 30 of about 6,287,806 (357)
Scalable structural break detection [PDF]
Applied Soft Computing, 2012 This paper deals with a statistical model fitting procedure for non-stationary time series. This procedure selects the parameters of a piecewise autoregressive model using the Minimum Description Length principle. The existing chromosome representation of the piecewise autoregressive model and its corresponding optimisation algorithm are improved ...
Elteto, Tamas +3 more
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Does modeling a structural break improve forecast accuracy?
Journal of Econometrics, 2020 Mean square forecast error loss implies a bias–variance trade-off that suggests that structural breaks of small magnitude should be ignored. In this paper, we provide a test to determine whether modeling a structural break improves forecast accuracy. The
Tom Boot, A. Pick
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Smooth Break Detection and De-Trending in Unit Root Testing
Mathematics, 2021 This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions
Furkan Emirmahmutoglu +3 more
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In-fill asymptotic theory for structural break point in autoregressions
Econometric Reviews, 2020 This article obtains the exact distribution of the maximum likelihood estimator of structural break point in the Ornstein–Uhlenbeck process when a continuous record is available.
Liang Jiang, Xiaohu Wang, Jun Yu
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Changepoint in Error-Prone Relations
Mathematics, 2021 Linear relations, containing measurement errors in input and output data, are considered. Parameters of these so-called errors-in-variables models can change at some unknown moment.
Michal Pešta
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İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 2023 In the study, the relationship between stock, commodity, foreign exchange and digital money markets is analyzed in a way that takes into account the structural breaks in the country's economy, and a large literature study is included. Analysis used daily
Namıka Boyacıoğlu +2 more
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Identification of short-term and long-term time scales in stock markets and effect of structural break [PDF]
, 2019 The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales ( τ ) with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews structural
Ajit Mahata +2 more
semanticscholar +1 more source
Structural break analysis for spectrum and trace of covariance operators [PDF]
Environmetrics, 2018 This paper deals with analyzing structural breaks in the covariance operator of sequentially observed functional data. For this purpose, procedures are developed to segment an observed stretch of curves into periods for which second‐order stationarity ...
Alexander Aue, Gregory Rice, O. Sonmez
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Unit Roots and Structural Breaks [PDF]
Econometrics, 2017 This special issue deals with problems related to unit roots and structural change, and the interplay between the two.[...]
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The Equity Premium And Structural Breaks [PDF]
SSRN Electronic Journal, 1998 A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the premium is associated, in part, with volatility.
Pastor, Lubos, Stambaugh, Robert F
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