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20172020
most citedFunctional Autoregressive Processes in Reproducing Kernel Hilbert Spaces

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math.ST2017★ 2 cited

Inference for Multiple Change-points in Linear and Non-linear Time Series Models

Wai Leong Ng, Shenyi Pan, Chun Yip Yau

In this paper we develop a generalized likelihood ratio scan method (GLRSM) for multiple change-points inference in piecewise stationary time series, which estimates the number and…