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A method of detecting changes in the behaviour of locally stationary sequences. (English) Zbl 0868.62070
Summary: A method for the detection of abrupt changes in the course of a locally stationary sequence is proposed. The method is based on a suitable approximation of an observed sequence by autoregressive models that are compared by means of a similarity measure derived from the asymptotic \(I\)-divergence rate. The method is illustrated by several numerical results.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62B10 Statistical aspects of information-theoretic topics
62L99 Sequential statistical methods
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References:
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