Changepoint Detection in the Presence of Outliers

DOI10.1080/01621459.2017.1385466zbMath1478.62238arXiv1609.07363OpenAlexW2525449401MaRDI QIDQ5229902

Guillem Rigaill, Paul Fearnhead

Publication date: 19 August 2019

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.07363

zbMATH Keywords

CUSUMrobust statisticsM-estimationpenalized likelihoodbinary segmentationbiweight loss

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Non-Markovian processes: hypothesis testing (62M07)

Related Items (24)

On optimal segmentation and parameter tuning for multiple change-point detection and inference ⋮ Multiscale Quantile Segmentation ⋮ Alternating Pruned Dynamic Programming for Multiple Epidemic Change-Point Estimation ⋮ Scalable change-point and anomaly detection in cross-correlated data with an application to condition monitoring ⋮ Rank-based multiple change-point detection ⋮ Subset Multivariate Collective and Point Anomaly Detection ⋮ Multipartition model for multiple change point identification ⋮ BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES ⋮ Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation ⋮ Loss function-based change point detection in risk measures ⋮ Bayesian Change Point Detection with Spike-and-Slab Priors ⋮ Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise ⋮ Robust algorithms for multiphase regression models ⋮ Graphical Influence Diagnostics for Changepoint Models ⋮ Most recent changepoint detection in censored panel data ⋮ Localising change points in piecewise polynomials of general degrees ⋮ Optimal nonparametric change point analysis ⋮ Is a finite intersection of balls covered by a finite union of balls in Euclidean spaces? ⋮ Real Time Anomaly Detection And Categorisation ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Parallelization of a Common Changepoint Detection Method ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Consistency of a range of penalised cost approaches for detecting multiple changepoints ⋮ Changepoint detection in non-exchangeable data

Uses Software

• wbs

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