A robust approach for estimating change-points in the mean of an AR(p) process

@article{Chakar2014ARA,
  title={A robust approach for estimating change-points in the mean of an AR(p) process},
  author={Souhil Chakar and 'Emilie Lebarbier and C'eline L'evy-Leduc and St{\'e}phane Robin},
  journal={arXiv: Methodology},
  year={2014}
}
We consider the problem of change-points estimation in the mean of an AR(p) process. Taking into account the dependence structure does not allow us to use the approach of the independent case. Especially, the dynamic programming algorithm giving the optimal solution in the independent case cannot be used anymore. We propose a two-step method, based on the preliminary robust (to the change-points) estimation of the autoregression parameters. Then, we propose to follow the classical approach, by… 
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