Detection of multiple change-points in multivariate time series
نویسندگان
چکیده
منابع مشابه
Detection of Multiple Change–Points in Multivariate Time Series
We consider the multiple change–point problem for multivariate time series, including strongly dependent processes, with an unknown number of change–points. We assume that the covariance structure of the series changes abruptly at some unknown common change–point times. The proposed adaptive method is able to detect changes in multivariate i.i.d., weakly and strongly dependent series. This adap...
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ژورنال
عنوان ژورنال: Lithuanian Mathematical Journal
سال: 2006
ISSN: 0363-1672,1573-8825
DOI: 10.1007/s10986-006-0028-9