Data Segmentation for Time Series Based on a General Moving Sum Approach
基于一般移动和方法的时间序列分段
In this paper we propose new methodology for the data segmentation, also known as multiple change point problem, in a general framework including classic mean change scenarios, changes in linear regression but also changes in the time series structure such as in the parameters of Poisson-autoregressive time series. In particular, we derive a general theory based on estimating equations proving consistency for the number of change points as well as rates of convergence for…