Estimation of many change-points in long autoregressive sequences

Article type: Research Article

Authors: Lipeika, Antanas | Lipeikienė, Joana

Affiliations: Institute of Mathematics and Informatics, Lithuanian Academy of Sciences, 2600 Vilnius, Akademijos St.4, Lithuania

Abstract: The dynamic programming method for estimation of many change-points in univariate autoregressive (AR) sequences with known AR parameters between change-points is investigated. A problem how to use this method for long autoregressive sequences is solved and a constructive solution is given. A simulation experiment illustrates the advantages of the solution obtained.

Keywords: autoregressive sequence, change-points in properties, dynamic programming, segmentation of speech

DOI: 10.3233/INF-1992-3103

Journal: Informatica, vol. 3, no. 1, pp. 37-46, 1992