Zobrazeno 1 - 1
of 1
pro vyhledávání: '"Kreye, Jannik"'
Autor:
Kreye, Jannik, Sibbertsen, Philipp
We propose a test to detect a forecast accuracy breakdown in a long memory time series and provide theoretical and simulation evidence on the memory transfer from the time series to the forecast residuals. The proposed method uses a double sup-Wald t
Externí odkaz:
http://arxiv.org/abs/2409.07087
