Browsing by Title "Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process"

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Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process

Guigues, Vincent Gérard Yannick
2012

We introduce a nonparametric breakpoint detection method for the means and covariances of a multivariate discrete time stochastic process. Breakpoints are defined as left or right endpoints of maximal intervals of local ...