Change-point methods for multivariate time-series: paired vectorial observations
Sign Up to like & getrecommendations! Published in 2020 at "Statistical Papers"
DOI: 10.1007/s00362-020-01175-3
Abstract: We consider paired and two-sample break-detection procedures for vectorial observations and multivariate time series. The new methods involve L2-type criteria based on empirical characteristic functions and are easy to compute regardless of dimension. We obtain… read more here.
Keywords: time series; change point; time; series ... See more keywords