High-Dimensional, Multiscale Online Changepoint Detection

DOI10.1111/rssb.12447OpenAlexW4206992850MaRDI QIDQ5869188

Tengyao Wang, Richard J. Samworth, Yudong Chen

Publication date: 27 September 2022

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.03668

zbMATH Keywords

sequential methodonline algorithmaverage run lengthdetection delayhigh-dimensional changepoint detection

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

Compound Sequential Change-point Detection in Parallel Data Streams ⋮ Improving detection of changepoints in short and noisy time series with local correlations: connecting the events in pixel neighbourhoods ⋮ False discovery rate approach to dynamic change detection ⋮ A Note on Online Change Point Detection ⋮ ocd

Uses Software

• R
• GISMO

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