Detecting Structural Change Point in ARMA Models via Neural Network Regression and LSCUSUM Methods
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DOI: 10.3390/e25010133
Abstract: This study considers the change point testing problem in autoregressive moving average (ARMA) (p,q) models through the location and scale-based cumulative sum (LSCUSUM) method combined with neural network regression (NNR). We estimated the model parameters… read more here.
Keywords: neural network; arma models; lscusum; change point ... See more keywords