These change-points and segment means are almost identical to those identified using the MA(1) model.</p
This paper investigates the maximum likelihood estimator (MLE) of structure-changed ARMA-GARCH model...
Root cancellation in Auto Regressive Moving Average (ARMA) models leads tolocal non-identification o...
This study considers the change point testing problem in autoregressive moving average (ARMA) (p,q) ...
(Top) Segmented signal with the true change-point locations. (Middle) Posterior probabilities of occ...
(Left) change-point profiles of random walk model [36]; (centre) change-point profiles of ARMA(1,1) ...
(Left) change-point locations using ARMA(1,1) model in well-log data at time points 1 to 1000; (righ...
Bottom plot shows the posterior probability of a change-point at each position. These segment means ...
Estimated change-point locations with posterior probability greater than 0.5 for AR(1), MA(1) and AR...
AbstractThe investigation about the problem of detection of a point of change in ARMA parameters has...
Time series segmentation aims to identify segment boundary points in a time series, and to determine...
Time series segmentation aims to identify segment boundary points in a time series, and to determine...
Each row shows a parameter of the segmented ARMA model and the |zθ| statistics associated with these...
We propose an estimation method that circumvents the path dependence problem existing in Change-Poin...
The paper investigates the relation between the parameters of an autoregressive moving average (ARMA...
(Arma - autoregressive moving-average)Available from British Library Document Supply Centre- DSC:639...
This paper investigates the maximum likelihood estimator (MLE) of structure-changed ARMA-GARCH model...
Root cancellation in Auto Regressive Moving Average (ARMA) models leads tolocal non-identification o...
This study considers the change point testing problem in autoregressive moving average (ARMA) (p,q) ...
(Top) Segmented signal with the true change-point locations. (Middle) Posterior probabilities of occ...
(Left) change-point profiles of random walk model [36]; (centre) change-point profiles of ARMA(1,1) ...
(Left) change-point locations using ARMA(1,1) model in well-log data at time points 1 to 1000; (righ...
Bottom plot shows the posterior probability of a change-point at each position. These segment means ...
Estimated change-point locations with posterior probability greater than 0.5 for AR(1), MA(1) and AR...
AbstractThe investigation about the problem of detection of a point of change in ARMA parameters has...
Time series segmentation aims to identify segment boundary points in a time series, and to determine...
Time series segmentation aims to identify segment boundary points in a time series, and to determine...
Each row shows a parameter of the segmented ARMA model and the |zθ| statistics associated with these...
We propose an estimation method that circumvents the path dependence problem existing in Change-Poin...
The paper investigates the relation between the parameters of an autoregressive moving average (ARMA...
(Arma - autoregressive moving-average)Available from British Library Document Supply Centre- DSC:639...
This paper investigates the maximum likelihood estimator (MLE) of structure-changed ARMA-GARCH model...
Root cancellation in Auto Regressive Moving Average (ARMA) models leads tolocal non-identification o...
This study considers the change point testing problem in autoregressive moving average (ARMA) (p,q) ...
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