Browsing Research Report by Subject "Autoregressive"

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    • Minimax Optimality of CUSUM for an Autoregressive Model 

      Knoth, Sven; Frisén, Marianne (University of Gothenburg, 2011-02-11)
      Different change point models for AR(1) processes are reviewed. For some models, the change is in the distribution conditional on earlier observations. For others the change is in the unconditional distribution. Some models ...