Mean shift testing in correlated data

DOI10.1111/j.1467-9892.2010.00707.xzbMath1294.62212OpenAlexW1578984877MaRDI QIDQ5495695

Michael Robbins, Alexander Aue, Colin M. Gallagher, Robert B. Lund

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00707.x

zbMATH Keywords

changepointslikelihood ratioBrownian bridgeCUSUMARMA series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

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