A factor model approach for the joint segmentation with between‐series correlation
Work
Year: 2018
Type: article
Abstract: We consider the detection of changes in the mean of a set of time series. The breakpoints are allowed to be series specific, and the series are assumed to be correlated. The correlation between the s... more
Institutions Institut national de l’information géographique et forestière, Université Paris Cité, AgroParisTech, Université Paris-Saclay
Cites: 44
Cited by: 4
Related to: 10
FWCI: 0.274
Citation percentile (by year/subfield): 70.88
Subfield: Finance
Domain: Social Sciences
Open Access status: green