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    Rights statement: The final publication is available at Springer via http://dx.doi.org/10.1007/s42952-022-00173-5

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    Embargo ends: 6/06/23

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Autocovariance Estimation in the Presence of Changepoints

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E-pub ahead of print
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<mark>Journal publication date</mark>6/06/2022
<mark>Journal</mark>Journal of the Korean Statistical Society
Number of pages20
Publication StatusE-pub ahead of print
Early online date6/06/22
<mark>Original language</mark>English

Abstract

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 $m/N \rightarrow 0$ as $N \rightarrow \infty$.

Bibliographic note

The final publication is available at Springer via http://dx.doi.org/10.1007/s42952-022-00173-5