A factor model approach for the joint segmentation with between-series correlation (Q151476)
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scientific article; zbMATH DE number 7128033
- A factor model approach for the joint segmentation with between‐series correlation
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| English | A factor model approach for the joint segmentation with between-series correlation |
scientific article; zbMATH DE number 7128033 |
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21 May 2015
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7 November 2019
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A factor model approach for the joint segmentation with between‐series correlation (English)
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multivariate time series
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segmentation
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factor model
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dynamic programming
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0.7711723446846008
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0.7336176037788391
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0.7333087921142578
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0.7226969599723816
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0.722352921962738
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Xavier Collilieux
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Emilie Lebarbier
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Stéphane Robin
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