Autocovariance estimation in the presence of changepoints
Autocovariance estimation in the presence of changepoints
复制标题
存在变化点时的自协方差估计
DOI：
10.1007/s42952-022-00173-5
复制
发表时间：
2022
影响因子：
0.6
通讯作者：
Gallagher C
中科院分区：
文献类型：
--
作者：
Gallagher C
本文研究了均值漂移个数未知时平稳自协方差结构的估计问题。本文提出并研究了受均值漂移变点污染的相依时间序列中自回归参数的Yule-Walker矩估计。该估计是基于序列的一阶差分的，当变点数m和序列长度N满足时，证明了该估计是相合的和渐近正态的.
This article studies estimation of a stationary autocovariance structure in the presence of an unknown number of mean shifts. Here, a Yule–Walker moment estimator for the autoregressive parameters in a dependent time series contaminated by mean shift changepoints is proposed and studied. The estimator is based on first order differences of the series and is proven consistent and asymptotically normal when the number of changepointsmand the series lengthNsatisfyas.