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Robust estimation of a change point in the properties of autoregressive sequences

Article type: Research Article

Authors: Lipeikienė, Joana

Affiliations: Institute of Mathematics and Informatics, Lithuanian Academy of Sciences, 232600, Vilnius, Akademijos St.4, Lithuania

Abstract: The problem of determination of a change point in the properties of autoregressive sequences with unknown distribution is analysed. Two robust algorithms for the estimation of a change point when the distribution is symmetric and asymmetric are presented.

Keywords: autoregressive sequence, change point, robust estimation

DOI: 10.3233/INF-1991-2104

Journal: Informatica, vol. 2, no. 1, pp. 66-76, 1991

Published: 1991
Price: EUR 27.50
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