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Title: Autocovariance estimation in the presence of changepoints
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 changepoints m and the series length N satisfy 𝑚/𝑁→0 as 𝑁→∞.  more » « less
Award ID(s):
1934568
NSF-PAR ID:
10349959
Author(s) / Creator(s):
; ; ;
Date Published:
Journal Name:
Journal of the Korean Statistical Society
ISSN:
1226-3192
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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