Scalable structural break detection
Abstract
This paper deals with a statistical model fitting procedure for non-stationary time series. This procedure selects the parameters of a piecewise autoregressive model using the Minimum Description Length principle. The existing chromosome representation of the piecewise autoregressive model and its corresponding optimisation algorithm are improved. First, we show that our proposed chromosome representation better captures the intrinsic properties...
Paper Details
Title
Scalable structural break detection
Published Date
Nov 1, 2012
Journal
Volume
12
Issue
11
Pages
3408 - 3420
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Notes
History