Bayesian change-point modeling with segmented ARMA model
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DOI: 10.1371/journal.pone.0208927
Abstract: Time series segmentation aims to identify segment boundary points in a time series, and to determine the dynamical properties corresponding to each segment. To segment time series data, this article presents a Bayesian change-point model… read more here.
Keywords: time series; change; change point; arma model ... See more keywords