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A SELF-NORMALIZED APPROACH TO SEQUENTIAL CHANGE-POINT DETECTION FOR TIME SERIES

Chan, NH; Ng, WL; Yau, CY

Chan, NH (corresponding author), Chinese Univ Hong Kong, Dept Stat, Cent Ave, Hong Kong, Peoples R China.

STATISTICA SINICA, 2021; 31 (1): 491

Abstract

We propose a self-normalization sequential change-point detection method for time series. To test for parameter changes, most traditional sequential m......

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