2 papers
stat.ME2020
Ensemble Binary Segmentation for irregularly spaced data with change-points
Karolos K. Korkas
We propose a new technique for consistent estimation of the number and locations of the change-points in the structure of an irregularly spaced time series. The core of the segment…
stat.ME2017
High-dimensional GARCH process segmentation with an application to Value-at-Risk
Haeran Cho, Karolos Korkas
Models for financial risk often assume that underlying asset returns are stationary. However, there is strong evidence that multivariate financial time series entail changes not on…