Robust estimation of a change point in the properties of autoregressive sequences
Volume 2, Issue 1 (1991), pp. 66–76
Pub. online: 1 January 1991
Type: Research Article
Published
1 January 1991
1 January 1991
Abstract
The problem of determination of a change point in the properties of autoregressive sequences with unknown distribution is analysed. Two robust algorithms for the estimation of a change point when the distribution is symmetric and asymmetric are presented.