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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Autocovariance Estimation in the Presence of Changepoints
AU - Gallagher, Colin
AU - Killick, Rebecca
AU - Lund, Robert
AU - Shi, Xueheng
N1 - The final publication is available at Springer via http://dx.doi.org/10.1007/s42952-022-00173-5
PY - 2022/12/31
Y1 - 2022/12/31
N2 - 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→ ∞.
AB - 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→ ∞.
KW - Autoregression
KW - Differencing
KW - Robustness
KW - Rolling Windows
KW - Segmentation
KW - Yule-Walker Estimates
U2 - 10.1007/s42952-022-00173-5
DO - 10.1007/s42952-022-00173-5
M3 - Journal article
VL - 51
SP - 1021
EP - 1040
JO - Journal of the Korean Statistical Society
JF - Journal of the Korean Statistical Society
IS - 4
ER -