A factor model approach for the joint segmentation with between-series correlation

DOI10.48550/arXiv.1505.05660zbMath1441.62135arXiv1505.05660WikidataQ128726275 ScholiaQ128726275MaRDI QIDQ151476

Emilie Lebarbier, Stéphane Robin, Xavier Collilieux, Xavier Collilieux, Stephane Robin, Emilie Lebarbier

Publication date: 21 May 2015

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05660

zbMATH Keywords

dynamic programming; segmentation; multivariate time series; factor model

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H11: Directional data; spatial statistics

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

62H20: Measures of association (correlation, canonical correlation, etc.)

90C39: Dynamic programming

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Uses Software

• R
• CRAN