Multiscale spectral analysis for detecting short and long range change points in time series

DOI10.1016/J.CSDA.2007.10.027zbMath1452.62668OpenAlexW2042049813MaRDI QIDQ1023672

Lena Ringstad Olsen, Fred Godtliebsen, Probal Chaudhuri

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.10.027

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

Statistical Scale Space Methods ⋮ Theoretical investigation of an exploratory approach for log-density in scale-space ⋮ A weighted \(\chi^2\) test to detect the presence of a major change point in non-stationary Markov chains ⋮ Metrics for SiZer map comparison ⋮ Nonparametric estimation of single-index models in scale-space ⋮ Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks

Uses Software

• SLEX
• astsa
• wmtsa
• SiZer

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bayesian multiscale analysis for time series data
• Wavelet based time-varying vector autoregressive modelling
• Visualization and inference based on wavelet coefficients, SiZer and SiNos
• Detecting change-points in Markov chains
• Sequential segmentation of nonstationary digital signals using spectral analysis
• Time-series segmentation: A model and a method
• Adaptive sequential segmentation of piecewise stationary time series
• Time series: theory and methods.
• Fitting time series models to nonstationary processes
• The SLEX model of a non-stationary random process
• Adaptive covariance estimation of locally stationary processes
• The control of the false discovery rate in multiple testing under dependency.
• Locally adaptive fitting of semiparametric models to nonstationary time series.
• A Wavelet-Based Test for Stationarity
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Dependent SiZer: Goodness-of-Fit Tests for Time Series Models
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• The Simes Method for Multiple Hypothesis Testing With Positively Dependent Test Statistics
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Time-Dependent Spectral Analysis of Nonstationary Time Series
• SiZer for Exploration of Structures in Curves
• An improved Bonferroni procedure for multiple tests of significance
• Discrimination and Classification of Nonstationary Time Series Using the SLEX Model
• Structural Break Estimation for Nonstationary Time Series Models

This page was built for publication: Multiscale spectral analysis for detecting short and long range change points in time series