Autocorrelation and Parameter Estimation in a Bayesian Change Point Model
A piecewise function can sometimes provide the best fit to a time series. The breaks in this function are called change points, which represent the point at which the statistical properties of the model change. Often, the exact placement of the change points is unknown, so an efficient algorithm is...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/5/1082 |