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Adaptive Detection of Multiple Change-Points in Asset Price Volatilityon pen(.), the adaptive procedure for automatically choosing the penalization parameter . is such that the segmentation . does not strongly depend on .. This algorithm is applied to the problem of detection of change-points in the volatility of financial time series, and compared with Vostrikova’s (1981) binary segmentation procedure.清唱剧 发表于 2025-3-23 03:51:02
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