Estimation of many change-points in long autoregressive sequences
Volume 3, Issue 1 (1992), pp. 37–46
Pub. online: 1 January 1992
Type: Research Article
Published
1 January 1992
1 January 1992
Abstract
The dynamic programming method for estimation of many change-points in univariate autoregressive (AR) sequences with known AR parameters between change-points is investigated. A problem how to use this method for long autoregressive sequences is solved and a constructive solution is given. A simulation experiment illustrates the advantages of the solution obtained.