The importance of prewhitening in change point analysis under persistence
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Title
The importance of prewhitening in change point analysis under persistence
Authors
Keywords
Pettitt test, Change point analysis, Prewhitening, Autoregressive process, Fractional Gaussian noise, Hurst parameter
Journal
STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT
Volume 30, Issue 2, Pages 763-777
Publisher
Springer Nature
Online
2015-02-18
DOI
10.1007/s00477-015-1041-5
References
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