A MOSUM procedure for the estimation of multiple random change points
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Publication:92616
DOI10.3150/16-bej887zbMath1388.62251MaRDI QIDQ92616
Birte Eichinger, Claudia Kirch, Claudia Kirch, Birte Eichinger
Publication date: 1 February 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1501142454
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: hypothesis testing (62M07)
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