Maximum likelihood estimation of change point from stationary to nonstationary in autoregressive models using dynamic linear model
Author:
Affiliation:
1. Department of Industrial Engineering and Management Systems; Amirkabir University of Technology; Tehran Iran
2. Department of Industrial Engineering, College of Engineering, West Tehran Branch; Islamic Azad University; Tehran Iran
Publisher
Wiley
Subject
Management Science and Operations Research,Safety, Risk, Reliability and Quality
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/qre.2233/fullpdf
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5. Identifying the time of a step change with X control charts;Samuel;Qual Eng,1998
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1. Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing;Communications in Statistics - Theory and Methods;2021-02-08
2. A Statistical Time-Frequency Model for Non-stationary Time Series Analysis;IEEE Transactions on Signal Processing;2020
3. Change Point Estimation of the Stationary State in Auto Regressive Moving Average Models, Using Maximum Likelihood Estimation and Singular Value Decomposition-based Filtering;International Journal of Engineering;2019-05
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