Search Results for author: Robin C. Sickles

Found 1 papers, 1 papers with code

A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters

2 code implementations22 Sep 2021 Oualid Bada, Alois Kneip, Dominik Liebl, Tim Mensinger, James Gualtieri, Robin C. Sickles

Our method adapts Haar wavelets to the structure of the observed variables in order to detect the change points of the parameters consistently.

Algorithmic Trading Time Series +1

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