Adaptive sequential segmentation of piecewise stationary time series

DOI10.1016/0020-0255(83)90008-7zbMath0584.62155OpenAlexW1997184885MaRDI QIDQ1069637

Ulrich Appel, Achim V. Brandt

Publication date: 1983

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0020-0255(83)90008-7

zbMATH Keywords

thresholdsimulation experimentsblock diagramAR model orderdetection of a parameter changeFlow chartsgeneralized likelihood ratio (GLR) testshuman electroencephalogramspiecewise stationary time seriessegment boundariessequential adaptive segmentationtest window

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Sequential estimation (62L12) Probabilistic methods, stochastic differential equations (65C99)

Related Items (8)

Time series segmentation: A sliding window approach ⋮ A new approach to speech segmentation based on the maximum likelihood ⋮ Detecting changes in signals and systems - a survey ⋮ Sequential speech segmentation based on the spectral ARMA transition measure ⋮ Estimation and setting starting values in ARMA algorithms ⋮ Continuous monitoring for changepoints in data streams using adaptive estimation ⋮ Multiscale spectral analysis for detecting short and long range change points in time series ⋮ Segmentation of piecewise stationary signals

Cites Work

• Unnamed Item
• Modeling by shortest data description
• Square root covariance ladder algorithms
• A new look at the statistical model identification

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