most citedGeneralized Laplace Inference in Multiple Change-Points Models

13 citations · 41 across the 9 of their papers we have counts for

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math.ST2021★ 3 cited

Change-Point Analysis of Time Series with Evolutionary Spectra

Alessandro Casini, Pierre Perron

This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the nul…

math.ST2018★ 13 cited

Generalized Laplace Inference in Multiple Change-Points Models

Alessandro Casini, Pierre Perron

Under the classical long-span asymptotic framework we develop a class of Generalized Laplace (GL) inference methods for the change-point dates in a linear time series regression mo…