Detecting abrupt changes in a piecewise locally stationary time series
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- Jin, Hao & Zhang, Jinsuo, 2010. "Subsampling tests for variance changes in the presence of autoregressive parameter shifts," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2255-2265, November.
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Keywords
Change-point Locally stationary Frequency domain Kullback-Leibler;Statistics
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