Inference for single and multiple change-points in time series

DOI10.1111/jtsa.12035zbMath1275.62061OpenAlexW2115877181MaRDI QIDQ2864620

Pengyu Liu, Ian B. MacNeill, Stergios B. Fotopoulos, Venkata K. Jandhyala

Publication date: 26 November 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12035

zbMATH Keywords

maximum likelihood estimationlikelihood ratio statisticminimum description lengthquasi-likelihoodLASSOnonparametric methodBayes-type detection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric estimation (62G05) Non-Markovian processes: hypothesis testing (62M07)

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Uses Software

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