Structural Break Estimation for Nonstationary Time Series Models
非平稳时间序列模型的结构断点估计
This article considers the problem of modeling a class of nonstationary time series using piecewise autoregressive (AR) processes. The number and locations of the piecewise AR segments, as well as the orders of the respective AR processes, are assumed unknown. The minimum description length principle is applied to compare various segmented AR fits to the data. The goal is to find the “best” combination of the number of segments, the lengths of the segments, and the orders of…