Time-series segmentation: A model and a method

DOI10.1016/0020-0255(83)90007-5zbMath0584.62154OpenAlexW1980569702MaRDI QIDQ1069634

Stanley L. Sclove

Publication date: 1983

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0020-0255(83)90007-5

zbMATH Keywords

model selectionMarkov chainrelaxation methodlikelihood functionSegmentation algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

Robust hidden Markov LQG problems ⋮ Asymmetries in the monetary policy reaction function: evidence from India ⋮ A dynamic programming approach to the estimation of markov switching regression models ⋮ Testing for linearity in Markov switching models: a bootstrap approach ⋮ Group LASSO for Structural Break Time Series ⋮ Multiscale spectral analysis for detecting short and long range change points in time series ⋮ Segmentation of piecewise stationary signals ⋮ Change-point problems: bibliography and review ⋮ Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching ⋮ Robust estimation and control under commitment ⋮ Dynamic linear models with Markov-switching

Uses Software

• MINITAB

Cites Work

• Likelihood of a model and information criteria
• Maximum entropy interpretation of autoregressive spectral densities
• Estimating the dimension of a model
• Optimal Choice of AR and MA Parts in Autoregressive Moving Average Models
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