Sequential change-point detection in time series models based on pairwise likelihood
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DOI: 10.5705/ss.202015.0359
Abstract: The paper proposes a sequential monitoring scheme for detecting changes in parameter values for general time series models using pairwise likelihood. Under this scheme, a change-point is declared when the cumulative sum of the first… read more here.
Keywords: series models; pairwise likelihood; scheme; time series ... See more keywords