Detecting abrupt changes in a piecewise locally stationary time series
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References listed on IDEAS
- Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 139-168, March.
- Romano, Joseph P. & Wolf, Michael, 2000. "A more general central limit theorem for m-dependent random variables with unbounded m," Statistics & Probability Letters, Elsevier, vol. 47(2), pages 115-124, April.
- Hsiao-Yun Huang & Hernando Ombao & David S. Stoffer, 2004. "Discrimination and Classification of Nonstationary Time Series Using the SLEX Model," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 763-774, January.
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- Jin, Hao & Zhang, Jinsuo, 2010. "Subsampling tests for variance changes in the presence of autoregressive parameter shifts," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2255-2265, November.
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KeywordsChange-point Locally stationary Frequency domain Kullback-Leibler;
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