Last update: Sun Mar 31 03:10:35 MDT 2019
Top |
Symbols |
Math |
A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
L |
M |
N |
O |
P |
Q |
R |
S |
T |
U |
V |
W |
X |
Y |
Z
BibTeX entry
@Article{Lee:2008:TPC,
author = "Sangyeol Lee and Junmo Song",
title = "Test for parameter change in {ARMA} models with
{GARCH} innovations",
journal = j-STAT-PROB-LETT,
volume = "78",
number = "13",
pages = "1990--1998",
day = "15",
month = sep,
year = "2008",
CODEN = "SPLTDC",
ISSN = "0167-7152 (print), 1879-2103 (electronic)",
ISSN-L = "0167-7152",
bibdate = "Sun Jun 1 11:17:49 MDT 2014",
bibsource = "http://www.math.utah.edu/pub/tex/bib/statproblett2000.bib",
URL = "http://www.sciencedirect.com/science/article/pii/S0167715208000722",
acknowledgement = ack-nhfb,
fjournal = "Statistics \& Probability Letters",
journal-URL = "http://www.sciencedirect.com/science/journal/01677152",
keywords = "Generalized autoregressive conditional
heteroscedasticity (GARCH) models",
}
Related entries
- ARMA,
70(1)119,
70(4)243,
75(2)113,
77(9)896,
78(12)1430,
79(17)1884
- autoregressive,
50(4)389,
51(1)53,
51(2)165,
51(3)235,
52(4)365,
53(4)381,
55(3)281,
56(1)23,
57(2)113,
60(3)241,
63(1)49,
64(1)83,
65(4)331,
66(2)91,
67(4)299,
67(4)307,
68(3)209,
69(3)287,
70(4)263,
71(1)61,
72(4)323,
73(1)25,
73(4)403,
74(1)77,
74(3)221,
75(1)39,
76(1)58,
76(1)93,
76(3)310,
76(3)318,
76(4)349,
76(6)609,
76(10)986,
76(10)1075,
76(12)1219,
76(13)1323,
76(15)1647,
77(13)1428,
77(14)1479,
78(1)1,
78(1)50,
78(4)402,
78(7)915,
78(12)1355,
78(12)1369,
78(12)1480,
78(12)1673,
78(15)2456,
78(16)2685,
78(16)2725,
78(17)2916,
78(18)3262,
79(1)38,
79(2)165,
79(3)339,
79(6)711,
79(6)807,
79(7)907,
79(9)1141,
79(15)1674,
79(15)1704,
79(24)2476
- change,
51(2)189,
53(1)37,
61(2)199,
64(1)89,
66(1)25,
66(4)435,
67(3)221,
69(3)315,
70(4)243,
76(13)1380,
76(13)1417,
77(9)885,
77(13)1449,
78(2)173,
78(16)2637,
78(18)3135,
79(8)1129,
79(19)1985
- conditional,
46(1)75,
46(4)371,
47(1)99,
49(3)299,
49(4)355,
50(2)193,
50(4)343,
50(4)397,
51(4)361,
53(1)67,
55(3)301,
55(4)353,
58(2)131,
58(3)287,
60(1)69,
63(3)249,
65(2)79,
66(1)19,
66(2)117,
66(3)327,
67(2)141,
67(3)257,
68(3)209,
70(4)263,
72(2)103,
73(1)1,
73(1)25,
74(2)151,
76(4)353,
76(6)579,
76(10)1075,
76(13)1323,
76(16)1775,
76(17)1882,
77(13)1428,
78(2)179,
78(6)739,
78(7)915,
78(7)927,
78(12)1480,
78(13)1922,
78(16)2725,
78(18)3249,
78(18)3262,
79(7)907,
79(8)1008,
79(8)1065,
79(9)1260,
79(15)1674
- GARCH,
68(3)209,
70(4)263,
73(1)25,
76(10)1075,
76(13)1323,
77(13)1428,
78(7)915,
78(12)1480,
78(16)2725,
78(18)3262,
79(7)907,
79(15)1674
- generalized,
46(3)287,
48(3)293,
49(2)163,
50(2)179,
50(3)237,
53(1)101,
55(1)53,
55(2)137,
55(3)269,
55(4)413,
56(2)155,
59(1)1,
59(4)329,
59(4)397,
60(4)459,
64(2)213,
65(1)51,
65(2)93,
66(1)51,
66(2)153,
66(3)213,
66(4)395,
67(1)65,
67(3)203,
68(1)17,
68(3)209,
68(4)429,
69(2)213,
69(3)315,
69(4)381,
70(4)263,
71(1)33,
71(1)85,
71(4)371,
72(2)163,
73(1)25,
73(4)357,
75(2)113,
75(4)280,
76(3)318,
76(8)813,
76(10)1075,
76(13)1323,
76(16)1761,
77(1)1,
77(6)588,
77(11)1043,
77(11)1106,
77(11)1137,
77(12)1362,
77(12)1394,
77(13)1428,
77(13)1439,
77(15)1549,
77(15)1580,
78(2)109,
78(3)225,
78(3)254,
78(4)376,
78(4)402,
78(5)528,
78(7)915,
78(8)963,
78(12)1480,
78(12)1526,
78(12)1624,
78(13)1722,
78(14)2188,
78(14)2210,
78(14)2265,
78(15)2433,
78(16)2725,
78(16)2836,
78(18)3123,
78(18)3129,
78(18)3139,
78(18)3262,
78(18)3274,
78(18)3381,
79(2)158,
79(3)331,
79(3)396,
79(4)525,
79(5)684,
79(6)789,
79(7)907,
79(7)969,
79(8)1065,
79(8)1105,
79(9)1252,
79(10)1343,
79(11)1404,
79(12)1480,
79(14)1615,
79(15)1674,
79(15)1724,
79(19)1996,
79(22)2321,
79(24)2462
- heteroscedasticity,
68(3)209,
70(4)263,
73(1)25,
73(1)61,
76(4)340,
76(10)1075,
76(13)1323,
77(13)1428,
78(7)915,
78(8)963,
78(12)1480,
78(16)2725,
78(18)3262,
79(7)907,
79(15)1674
- innovation,
54(4)347,
63(1)97,
71(1)61,
76(18)2007,
77(1)63,
78(7)915,
78(12)1404,
78(12)1601,
78(17)2916,
79(3)354
- Lee, Sangyeol,
56(1)23,
57(1)65,
61(1)71,
66(1)25,
76(14)1494
- parameter,
46(3)283,
50(1)23,
50(1)33,
50(3)245,
52(3)233,
53(2)189,
54(2)137,
55(4)397,
56(2)121,
57(2)193,
57(3)269,
61(1)61,
62(3)229,
62(4)355,
63(1)61,
65(2)139,
65(3)177,
67(4)299,
68(3)315,
70(4)263,
71(1)61,
71(2)111,
71(2)143,
72(1)43,
72(2)93,
75(3)219,
75(4)307,
76(1)10,
76(3)266,
76(4)349,
76(6)547,
77(1)54,
77(6)625,
77(7)704,
77(8)843,
77(9)885,
77(9)914,
77(10)964,
77(10)1004,
77(12)1235,
77(15)1542,
78(3)286,
78(4)426,
78(6)577,
78(9)1076,
78(9)1158,
78(12)1375,
78(12)1388,
78(12)1445,
78(13)1826,
78(14)2217,
78(15)2408,
78(15)2437,
78(16)2768,
78(17)2916,
78(17)2963,
78(17)2971,
78(17)3091,
79(1)16,
79(1)98,
79(7)977,
79(9)1135,
79(15)1724,
79(19)1977,
79(20)2158,
79(20)2208,
79(21)2297,
79(24)2484