Now showing items 1-2 of 2

    • Bootstrap procedures for online monitoring of changes in autoregressive models 

      Hlávka, Z.; Meintanis, S.G.; Husková, M.; Kirch, C. (Taylor & Francis, 2016)
      We compare the behavior of several bootstrap procedures for monitoring changes in the error distribution of autoregressive time series. The proposed procedures are designed to control the overall significance level and ...
    • Fourier methods for analyzing piecewise constant volatilities 

      Wornowizki, Max; Meintanis, Simos G.; Fried, Roland (Springer, 2017)
      We develop procedures for testing whether a sequence of independent random variables has constant variance. If this is fulfilled, the modulus of a Fourier-type transformation of the volatility process is identically equal ...