Asymptotic properties of the gauge of step-indicator saturation
We investigate the asymptotic properties of Step-indicator Saturation which is an algorithm to handle unmodelled location shifts in time series. We consider a stylized version of the algorithm that uses the split-half approach. We present asymptotic convergence and distribution results on the gauge...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
2018
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