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Long memory and changepoint models: a spectral classification procedure
Time series within fields such as finance and economics are often modelled using long memory processes. Alternative studies on the same data can suggest that series may actually contain a ‘changepoint’ (a point within the time series where the data generating process has changed). These models have...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2017
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6956897/ https://www.ncbi.nlm.nih.gov/pubmed/31997855 http://dx.doi.org/10.1007/s11222-017-9731-0 |