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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…
math.ST2020★ 14 cited
The Local Partial Autocorrelation Function and Some Applications
Rebecca Killick, Marina I. Knight, Guy P. Nason +1
The classical regular and partial autocorrelation functions are powerful tools for stationary time series modelling and analysis. However, it is increasingly recognized that many t…