Multiscale and multilevel technique for consistent segmentation of nonstationary time series

DOI10.5705/ss.2009.280zbMath1417.62240arXiv1611.09727OpenAlexW3105649530MaRDI QIDQ3223864

Piotr Fryzlewicz, Haeran Cho

Publication date: 8 March 2012

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.09727

zbMATH Keywords

post-processingbinary segmentationbreakpoint detectionpiecewise stationaritywavelet periodogramlocally stationary wavelet model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

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