BREAK DETECTION IN THE COVARIANCE STRUCTURE OF MULTIVARIATE TIME SERIES MODELS

Aue, Alexander ; Hörmann, Siegfried ; Horváth, Lajos ; Reimherr, Matthew

The Annals of statistics, 2009-12, Vol.37 (6B), p.4046-4087 [Periódico revisado por pares]

Cleveland, OH: Institute of Mathematical Statistics

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