Maximum likelihood estimation of change point from stationary to nonstationary in autoregressive models using dynamic linear model

Subjects

Subjects :

0209 industrial biotechnology
Maximum likelihood
SETAR
02 engineering and technology
Management Science and Operations Research
Maximum likelihood sequence estimation
01 natural sciences
010104 statistics & probability
020901 industrial engineering & automation
Autoregressive model
Dynamic linear model
Econometrics
Applied mathematics
Point (geometry)
0101 mathematics
Safety, Risk, Reliability and Quality
STAR model
Mathematics

Details

ISSN :

07488017

Volume :

34

Database :

OpenAIRE

Journal :

Quality and Reliability Engineering International

Accession number :

edsair.doi...........fad17dc6b01bb57b88039f12612ffd78

Full Text :

https://doi.org/10.1002/qre.2233