Inference for single and multiple change-points in time series

DOI10.1111/JTSA.12035zbMath1275.62061OpenAlexW2115877181MaRDI QIDQ2864620

Pengyu Liu, Ian B. MacNeill, Stergios B. Fotopoulos, Venkata K. Jandhyala

Publication date: 26 November 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12035

zbMATH Keywords

maximum likelihood estimationlikelihood ratio statisticminimum description lengthquasi-likelihoodLASSOnonparametric methodBayes-type detection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric estimation (62G05) Non-Markovian processes: hypothesis testing (62M07)

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Related Items (49)

On optimal segmentation and parameter tuning for multiple change-point detection and inference ⋮ Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices ⋮ Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes ⋮ A computationally efficient nonparametric approach for changepoint detection ⋮ A comparison of single and multiple changepoint techniques for time series data ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ Change point detection and estimation methods under gamma series of observations ⋮ Unnamed Item ⋮ Rank-based multiple change-point detection ⋮ Monitoring mean and variance change-points in long-memory time series ⋮ Estimating non-simultaneous changes in the mean of vectors ⋮ Empirical likelihood for break detection in time series ⋮ Time series regression with persistent level shifts ⋮ Post‐selection inference for changepoint detection algorithms with application to copy number variation data ⋮ Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics ⋮ A Bayesian detection of structural changes in autoregressive time series models ⋮ Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime ⋮ Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification ⋮ Multiple change-points detection in high dimension ⋮ Detecting relevant changes in the spatiotemporal mean function ⋮ Detecting non-simultaneous changes in means of vectors ⋮ A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters ⋮ Multiple change point detection and validation in autoregressive time series data ⋮ A linear regression model with persistent level shifts: an alternative to infill asymptotics ⋮ Estimating the turning point location in shifted exponential model of time series ⋮ A distribution free test for changes in the trend function of locally stationary processes ⋮ Exact post-selection inference for the generalized Lasso path ⋮ Ecological change points: the strength of density dependence and the loss of history ⋮ Most recent changepoint detection in censored panel data ⋮ Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points ⋮ Autocovariance Estimation in Regression with a Discontinuous Signal and m‐Dependent Errors: A Difference‐Based Approach ⋮ Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach ⋮ Detecting changes in mean in the presence of time-varying autocovariance ⋮ Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series ⋮ Adaptive parametric change point inference under covariance structure changes ⋮ Change-point analysis for binomial autoregressive model with application to price stability counts ⋮ The multiple filter test for change point detection in time series ⋮ Most Recent Changepoint Detection in Panel Data ⋮ Applications of random search methods to foraging in ecological environments and other natural phenomena -- a review ⋮ Changepoint analysis of Klementinum temperature series ⋮ Multiple change-point models for time series ⋮ Gaussian approximation for nonstationary time series with optimal rate and explicit construction ⋮ Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators ⋮ Anomaly detection: a functional analysis perspective ⋮ Spatial rank-based high-dimensional change point detection via random integration ⋮ On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process ⋮ Inference for single and multiple change-points in time series ⋮ Asymptotic properties of semiparametric \(M\)-estimators with multiple change points ⋮ Testing for jumps in the presence of smooth changes in trends of nonstationary time series

Uses Software

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