Rights statement: The final publication is available at Springer via http://dx.doi.org/10.1007/s42952-022-00173-5
Accepted author manuscript, 623 KB, PDF document
Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
| <mark>Journal publication date</mark> | 31/12/2022 |
|---|---|
| <mark>Journal</mark> | Journal of the Korean Statistical Society |
| Issue number | 4 |
| Volume | 51 |
| Number of pages | 20 |
| Pages (from-to) | 1021-1040 |
| Publication Status | Published |
| Early online date | 6/06/22 |
| <mark>Original language</mark> | English |
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→ ∞.