Autocovariance estimation in the presence of changepoints
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Publication:2111950
DOI10.1007/S42952-022-00173-5OpenAlexW3131020727MaRDI QIDQ2111950FDOQ2111950
Rebecca Killick, Xueheng Shi, Robert Lund, Colin M. Gallagher
Publication date: 17 January 2023
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.10669
Cites Work
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- Joint Estimation of Model Parameters and Outlier Effects in Time Series
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- ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
- Autoregressive modeling and feature analysis of DNA sequences
- Long memory and changepoint models: a spectral classification procedure
- Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection
- A comparison of single and multiple changepoint techniques for time series data
- Short communication: Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection
- Bounded Influence Propagation $\tau$ -Estimation: A New Robust Method for ARMA Model Estimation
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Uses Software
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