论文检索

利用平方累积和回顾检测方差变化AI 解读

This article studies the problem of multiple change points in the variance of a sequence of independent observations. We propose a procedure to detect variance changes based on an iterated cumulative sums of squares (ICSS) algorithm. We study the properties of the centered cumulative sum of squares function and give an intuitive basis for the ICSS algorithm. For series of moderate size (i.e., 200 observations and beyond), the ICSS algorithm offers results comparable to those…

利用后验赔率检测多个方差变点AI 解读

This article uses a Bayesian procedure based on obtaining posterior odds to assess the evidence about the existence of multiple changes of variance in a time series. The approach is developed for sequences of independent observations. An extension to consider autoregressive models is also discussed. The information on the data about the location of the change points and the magnitude of the variances at the different pieces of the series is summarized through posterior…