Autocovariance Estimation in the Presence of Changepoints

02/21/2021
by   Colin Gallagher, et al.
0

This article studies estimation of a stationary autocovariance structure in the presence of an unknown number of mean shifts. Here, a Yule-Walker moment estimator for the autoregressive parameters in a dependent time series contaminated by mean shift changepoints is proposed and studied. The estimator is based on first order differences of the series and is proven consistent and asymptotically normal when the number of changepoints m and the series length N satisfies m/N → 0 as N →∞

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset