Monitoring Volatility Change for Time Series Based on Support Vector Regression
This paper considers monitoring an anomaly from sequentially observed time series with heteroscedastic conditional volatilities based on the cumulative sum (CUSUM) method combined with support vector regression (SVR). The proposed online monitoring process is designed to detect a significant change...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/11/1312 |