Bayesian methods for change-point detection in long-range dependent processes

Ray, Bonnie K., Tsay, Ruey S. . Journal of Time Series Analysis 2002. 23 (6) :687-705

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Bibtex

@article{CIS-181230,
  Author = {Ray, Bonnie K. and Tsay, Ruey S.},
  Title = {Bayesian methods for change-point detection in long-range dependent processes},
  Journal = {Journal of Time Series Analysis},
  Volume = {23},
  Number = {6},
  Year = {2002},
  Pages = {687--705},
  Keywords = {Structural change, Kalman filter, Gibbs sampler, Long memory}
}

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