Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
From MaRDI portal
Publication:2742772
DOI10.1111/1467-9892.00172zbMath0974.62070OpenAlexW2105009836MaRDI QIDQ2742772
Publication date: 23 September 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00172
fractional Brownian motionstrong mixing processesHajek-Renyi inequalitydetection of change pointspenalized least-squares estimates
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (62)
On optimal segmentation and parameter tuning for multiple change-point detection and inference ⋮ Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Bayesian analysis of multiple thresholds autoregressive model ⋮ A comparison of single and multiple changepoint techniques for time series data ⋮ Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection ⋮ Minimal penalties for Gaussian model selection ⋮ The limit distribution of the estimates in cointegrated regression models with multiple structural changes ⋮ Piecewise FARIMA models for long-memory time series ⋮ The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997 ⋮ Subset Multivariate Collective and Point Anomaly Detection ⋮ Robust change point detection method via adaptive LAD-Lasso ⋮ On change-point estimation under Sobolev sparsity ⋮ Univariate mean change point detection: penalization, CUSUM and optimality ⋮ Recursive computation of piecewise constant volatilities ⋮ Long memory or structural changes: an empirical examination on inflation rates ⋮ Two tests for sequential detection of a change-point in a nonlinear model ⋮ BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES ⋮ Multiscale change point detection via gradual bandwidth adjustment in moving sum processes ⋮ Robust multiscale estimation of time-average variance for time series segmentation ⋮ Detecting and estimating changes in dependent functional data ⋮ Multiple breaks detection in general causal time series using penalized quasi-likelihood ⋮ A multivariate test against spurious long memory ⋮ Distinguishing between breaks in the mean and breaks in persistence under long memory ⋮ Parameter changes in GARCH model ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ Consistent change-point detection with kernels ⋮ Penalized least absolute deviations estimation for nonlinear model with change-points ⋮ Detection and estimation of structural change in heavy-tailed sequence ⋮ Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise ⋮ Quasi-maximum likelihood estimation for multiple volatility shifts ⋮ Wild binary segmentation for multiple change-point detection ⋮ Break Detection for a Class of Nonlinear Time Series Models ⋮ Discretization error of wavelet coefficient for fractal like processes ⋮ Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method ⋮ Detection of multiple change-points in multivariate time series ⋮ Tail-greedy bottom-up data decompositions and fast multiple change-point detection ⋮ Testing for bubbles and change-points ⋮ Ecological change points: the strength of density dependence and the loss of history ⋮ Most recent changepoint detection in censored panel data ⋮ The increment ratio statistic ⋮ Autocovariance Estimation in Regression with a Discontinuous Signal and m‐Dependent Errors: A Difference‐Based Approach ⋮ Estimating the Number of Block Boundaries from Diagonal Blockwise Matrices Without Penalization ⋮ A Kernel Multiple Change-point Algorithm via Model Selection ⋮ Identification of the multiscale fractional Brownian motion with biomechanical applications ⋮ Optimal covariance change point localization in high dimensions ⋮ Rate of convergence for multiple change-points estimation of moving-average processes ⋮ A statistical uncertainty principle for estimating the time of a discrete shift in the mean of a continuous time random process ⋮ Detection of multiple changes in a sequence of dependent variables ⋮ Estimating a changed segment in a sample ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ A discussion on ``Detection of intrusions in information systems by sequential change-point methods by Tartakovsky, Rozovskii, Blažek, and Kim ⋮ Structural changes estimation for strongly dependent processes ⋮ Joint segmentation of wind speed and direction using a hierarchical model ⋮ Efficient Threshold Selection for Multivariate Total Variation Denoising ⋮ Detecting Changes in Slope With an L0 Penalty ⋮ Maximum likelihood estimator in a multi-phase random regression model ⋮ Changepoint Detection in the Presence of Outliers ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ Robust discrimination between long‐range dependence and a change in mean ⋮ Consistency of a range of penalised cost approaches for detecting multiple changepoints ⋮ Multiscale Change Point Inference
This page was built for publication: Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
