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stat.CO2021
PyChEst: a Python package for the consistent retrospective estimation of distributional changes in piece-wise stationary time series
Azadeh Khaleghi, Lukas Zierahn
We introduce PyChEst, a Python package which provides tools for the simultaneous estimation of multiple changepoints in the distribution of piece-wise stationary time series. The n…
math.ST2021★ 4 cited
Inferring the mixing properties of an ergodic process
Azadeh Khaleghi, Gábor Lugosi
We propose strongly consistent estimators of the norm of the sequence of -mixing (respectively -mixing) coefficients of a stationary ergodic process. We further prov…