Journal:Informatica
Volume 3, Issue 1 (1992), pp. 37–46
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.
Journal:Informatica
Volume 2, Issue 1 (1991), pp. 66–76
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.