Joint segmentation of multivariate Gaussian processes using mixed linear models
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References listed on IDEAS
- Jushan Bai & Pierre Perron, 2003.
"Computation and analysis of multiple structural change models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- Dobigeon, Nicolas & Tourneret, Jean-Yves, 2007. "Joint segmentation of wind speed and direction using a hierarchical model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5603-5621, August.
- Henri Caussinus & Olivier Mestre, 2004. "Detection and correction of artificial shifts in climate series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 53(3), pages 405-425.
More about this item
KeywordsSegmentation Mixed linear model Multivariate Gaussian process Dynamic programming EM algorithm;
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