Inference for Multiple Change Points in Time Series via Likelihood Ratio Scan Statistics

DOI10.1111/rssb.12139zbMath1414.62386OpenAlexW2180399634MaRDI QIDQ5378375

Chun Yip Yau, Zifeng Zhao

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/rssb.12139

zbMATH Keywords

likelihood ratioconfidence intervalchange point detectionpiecewise stationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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