Multiple Change Points by Filtered Derivative and False Discovery Rate

Let X = (X1; X2; : : : ; Xn) be a time series, that is a sequence of random variable indexed by thetime t = 1; 2; : : : ; n. We assume the existence of a segmentation τ = (τ1; τ2; : : : ; τn) such that Xi is a family…
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June 9, 2021 0