Autocovariance Estimation in Regression with a Discontinuous Signal and m-Dependent Errors: A Difference-Based Approach
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- Cho, Haeran & Kirch, Claudia, 2024. "Data segmentation algorithms: Univariate mean change and beyond," Econometrics and Statistics, Elsevier, vol. 30(C), pages 76-95.
- Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
- Cho, Haeran & Fryzlewicz, Piotr, 2023. "Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm," LSE Research Online Documents on Economics 120085, London School of Economics and Political Science, LSE Library.
- Cho, Haeran & Kirch, Claudia, 2022. "Bootstrap confidence intervals for multiple change points based on moving sum procedures," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
- McGonigle, Euan T. & Cho, Haeran, 2023. "Robust multiscale estimation of time-average variance for time series segmentation," Computational Statistics & Data Analysis, Elsevier, vol. 179(C).
- Holger Dette & Theresa Eckle & Mathias Vetter, 2020. "Multiscale change point detection for dependent data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(4), pages 1243-1274, December.
- Ieva Axt & Roland Fried, 2020. "On variance estimation under shifts in the mean," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 417-457, September.
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