Long memory and changepoint models: a spectral classification procedure
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DOI: 10.1007/s11222-017-9731-0
Abstract: 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… read more here.
Keywords: classification; time; long memory; memory changepoint ... See more keywords