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Estimation Mean Change-Point in ARCH Models with Heavy-Tailed Innovations.

Hao JinZheng TianYunfeng Yang
Published in: Commun. Stat. Simul. Comput. (2010)
Keyphrases
  • heavy tailed
  • change point
  • parameter estimation
  • probabilistic model
  • statistical methods
  • model selection
  • mixture model
  • map estimation
  • generalized gaussian