TL;DR本文提出一种基于 Gap 统计量的多状态自回归过程选择方法,该方法使用一个空值基准分布检查添加新自回归状态是否显着提高了模型的性能。文中通过数值实验评估了该方法的表现。
Abstract
In this work, we consider the class of multi-state autoregressive processes
that can be used to model non-stationary time-series of interest. In order to
capture different autoregressive (AR) states underlying an observed time
series, it is crucial to select the appropriate number of s