Least‐squares Estimation of an Unknown Number of Shifts in a Time Series

• 4 January 2000
• journal article
• Published by Wiley in Journal of Time Series Analysis
• Vol. 21  (1) , 33-59
• https://doi.org/10.1111/1467-9892.00172

Abstract

Keywords

• DETECTION OF CHANGE POINTS
• HAJEK‐RENYI INEQUALITY
• STRONGLY MIXING PROCESSES
• STRONGLY DEPENDENT PROCESSES
• FRACTIONAL BROWNIAN MOTION
• PENALIZED LEAST‐SQUARES ESTIMATE