Detection and estimation of changes in regime
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Recommendations
- Structural changes estimation for strongly dependent processes
- Change-point detection in long-memory processes
- Change-in-mean problem for long memory time series models with applications
- Change-point detection with rank statistics in long-memory time-series models
- A simple test of changes in mean in the possible presence of long-range dependence
Cited in
(14)- On parameter estimation for locally stationary long-memory processes
- Recurrence statistics for anomalous diffusion regime change detection
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- Detection of multiple change-points in multivariate time series
- Jump-preserving monitoring of dependent time series using pilot estimators
- Multiscale detection and location of multiple variance changes in the presence of long memory
- Spurious regression between long memory series due to mis-specified structural breaks
- A new process for modeling heartbeat signals during exhaustive run with an adaptive estimator of its fractal parameters
- Structural changes estimation for strongly dependent processes
- Change-of-variance problem for linear processes with long memory
- Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process
- Testing for bubbles and change-points
- On rapid change points under long memory
- Dynamic detection of change points in long time series
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