Detection of Multiple Changes of Variance Using Posterior Odds

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

Time Series Analysis: Forecasting and Control

1977 • 2,451 citations

Applied Statistical Decision Theory

1962 • 2,252 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

An Introduction to Bayesian Inference in Econometrics.

1972 • 1,749 citations

Applied Statistical Decision Theory.

1962 • 754 citations

Outliers, level shifts, and variance changes in time series

1988 • 713 citations

Hierarchical Bayesian Analysis of Changepoint Problems

1992 • 585 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 411 citations

Parameter Estimation for a Generalized Gamma Distribution

1965 • 277 citations

The problem of the Nile: Conditional solution to a changepoint problem

1978 • 276 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 274 citations

Confidence regions and tests for a change-point in a sequence of exponential family random variables

1986 • 245 citations

On the Stable Paretian Behavior of Stock-Market Prices

1974 • 230 citations

Tests for Variance Shift at an Unknown Time Point

1977 • 135 citations

Detecting Shifts of Parameter in Gamma Sequences with Applications to Stock Price and Air Traffic Flow Analysis

1979 • 125 citations

Changes of Variance in First-Order Autoregressive Time Series Models-With an Application

1976 • 122 citations

Detection of the number, locations and magnitudes of jumps

1988 • 90 citations

A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns

1982 • 82 citations

A Bayesian approach to retrospective identification of change-points

1982 • 75 citations

Maximum likelihood estimation of multiple change points

1990 • 70 citations

A Bayesian Analysis of a Change in the Precision of a Sequence of Independent Normal Random Variables at an Unknown Time Point

1981 • 67 citations

The likelihood ratio test for the change point problem for exponentially distributed random variables

1987 • 37 citations

The Identical Distribution Hypothesis for Stock Market Prices—Location- and Scale-Shift Alternatives

1982 • 34 citations

Inference about a change point in experimental neurophysiology

1986 • 32 citations

Locating a changed segment in a sequence of Bernoulli variables

1990 • 31 citations

Inferences about the parameters of a time series model with changing variance

1984 • 29 citations

Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series

1979 • 23 citations

Testing for the number of change points in a sequence of exponential random variables

1988 • 19 citations

Time-Series Analysis: Theory and Practice 3

1984 • 19 citations

[Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study]: Comment

1983 • 5 citations