Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing
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Publication:5039813
DOI10.1080/03610926.2021.1881120OpenAlexW3126945260MaRDI QIDQ5039813
Raza Sheikhrabori, Majid Amin-Nayeri
Publication date: 4 October 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2021.1881120
smoothingmaximum likelihood estimationARMAchange point estimationsingular value decomposition (SVD)(1) modeldynamic linear model (DLM)
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