Publication details
The Method of Cointegration, Change Point Identification in Cointegrated Processes
| Authors | |
|---|---|
| Year of publication | 2005 |
| Type | Article in Proceedings |
| Conference | prediction and Decision Making under Uncertainties |
| MU Faculty or unit | |
| Citation | |
| Field | Applied statistics, operation research |
| Keywords | Method of cointegration; change point problem; cointegrated processes |
| Description | The paper is focused on the question of modelling multidimensional non-stationary cointegrated process and to the identification of changes in cointegrated system using method of change point problem. |