Structural Break Estimation for Nonstationary Time Series Models
- 1 March 2006
- journal article
- research article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 101 (473), 223-239
- https://doi.org/10.1198/016214505000000745
Abstract
This article considers the problem of modeling a class of nonstationary time series using piecewise autoregressive (AR) processes. The number and locations of the piecewise AR segments, as well as ...Keywords
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