most citedA Comparison of Single and Multiple Changepoint Techniques for Time Series Data

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math.ST2021

Autocovariance Estimation in the Presence of Changepoints

Colin Gallagher, Rebecca Killick, Robert Lund +1

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 autoregre…