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Lund Robert,Shi Xueheng 한국통계학회 2020 Journal of the Korean Statistical Society Vol.49 No.4
This article comments on the new version of wild binary segmentation in Fryzlewicz (Ann Stat 42(6):2243–2281, 2014).
Autocovariance estimation in the presence of changepoints
Gallagher Colin,Killick Rebecca,Lund Robert,Shi Xueheng 한국통계학회 2022 Journal of the Korean Statistical Society Vol.51 No.4
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 autoregressive parameters in a dependent time series contaminated by mean shift changepoints is proposed and studied. The estimator is based on fIrst order differences of the series and is proven consistent and asymptotically normal when the number of changepoints m and the series length N satisfy m∕N → 0 as N → ∞.