Inference for Multiple Change-points in Piecewise Locally Stationary Time Series
分段局部平稳时间序列中多个变点的推断
Change-point detection and locally stationary time series modeling are two major approaches for the analysis of non-stationary data. The former aims to identify stationary phases by detecting abrupt changes in the dynamics of a time series model, while the latter employs (locally) time-varying models to describe smooth changes in dependence structure of a time series. However, in some applications, abrupt and smooth changes can co-exist, and neither of the two approaches…