Segmentation algorithm for non-stationary compound Poisson processes: With an application to inventory time series of market members in a financial market
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 a time series. The process is composed of consecutive patches of variable length. In each patch the pro...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2010
|