Autocovariance estimation in the presence of changepoints
نویسندگان
چکیده
This article studies estimation of a stationary autocovariance structure in the presence an unknown number mean shifts. Here, Yule–Walker moment estimator for autoregressive parameters dependent time series contaminated by shift changepoints is proposed and studied. The based on first order differences proven consistent asymptotically normal when m length N satisfy $$m/N \rightarrow 0$$ as $$N \infty$$ .
منابع مشابه
The Uncertainty of Storm Season Changes: Quantifying the Uncertainty of Autocovariance Changepoints Supplementary Material
Christopher F. H. Nam, John A. D. Aston, Idris A. Eckley, Rebecca Killick Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK Statistical Laboratory, DPMMS, University of Cambridge, Cambridge, CB3 0WB, UK Department of Mathematics and Statistics, University of Lancaster, Lancaster, LA1 4YF, UK {c.f.h.nam | j.a.d.aston }@warwick.ac.uk {i.eckley | r.killick }@lancaster.ac.uk Fe...
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ژورنال
عنوان ژورنال: Journal of The Korean Statistical Society
سال: 2022
ISSN: ['2005-2863', '1226-3192', '1876-4231']
DOI: https://doi.org/10.1007/s42952-022-00173-5