Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm

DOI10.1111/JTSA.12722arXiv2011.13884MaRDI QIDQ6128257

Haeran Cho, Piotr Fryzlewicz

Publication date: 15 April 2024

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

Full work available at URL: https://arxiv.org/abs/2011.13884

zbMATH Keywords

autoregressive time seriesinformation criteriondata segmentationwild binary segmentation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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