Segmentation algorithm for non-stationary compound Poisson processes
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of the time series. The process is composed of consecutive patches of variable length, each patch being de...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
2010
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