Mireille BATTON-HUBERT

Detecting Mean Shifts in a Class of Time Series CHARN Models with Application to Financial Data

Youssef SALMAN, Anis Hoayek & Mireille BATTON-HUBERT · Journal of Scientific Research and Reports · 2025

In this paper, we propose a fully automated method for detecting changes in the mean of piecewise Conditional Heteroskedastic Autoregressive Nonlinear (CHARN) models. Detecting weak changes, those of small magnitude, is crucial in financial and economic applications, where they m...