Hybrid CUSUM Change Point Test for Time Series with Time-Varying Volatilities Based on Support Vector Regression.
Sangyeol LeeChang Kyeom KimSangjo LeePublished in: Entropy (2020)
Keyphrases
- change point
- change point detection
- singular spectrum analysis
- support vector regression
- non stationary
- regression model
- sequential data
- outlier detection
- hybrid model
- support vector machine svm
- stock price
- cumulative sum
- support vector
- kernel function
- forecasting accuracy
- support vector machine
- statistical tests
- statistical significance
- support vector classification
- data sets
- motif discovery