A sequential multiple change-point detection procedure via VIF regression

DOI10.1007/S00180-015-0587-5MaRDI QIDQ155754zbMATHOpenAlexFDO

Authors Xiaoping Shi, Xiang-Sheng Wang, Dongwei Wei, Yuehua Wu, Xiang-Sheng Wang, Dongwei Wei, Yuehua Wu, Xiaoping Shi

Publication date 3 June 2015

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-015-0587-5

zbMATH Keywords

variable selectionCUSUMpartitionmean-shift modelvariance inflation factor regression algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Sequential statistical analysis (62L10)

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• Detection of multiple change-points in multivariate data
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Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• A Bayesian Analysis for Change Point Problems
• A Cluster Analysis Method for Grouping Means in the Analysis of Variance
• A nonparametric approach for multiple change point analysis of multivariate data
• A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models
• Algorithms for the optimal identification of segment neighborhoods
• Circular binary segmentation for the analysis of array-based DNA copy number data
• Multiple Change-Point Estimation With a Total Variation Penalty
• Optimal detection of changepoints with a linear computational cost
• Parametric statistical change point analysis. With applications to genetics, medicine, and finance
• Product partition models for change point problems
• VIF regression: a fast regression algorithm for large data

Cited in

(16)

• Multiple change-point detection via a screening and ranking algorithm
• An exact approach to Bayesian sequential change point detection
• Beta approximation and its applications
• Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search
• Segmentation of the mean of heteroscedastic data via cross-validation
• Adaptive detection of multiple change-points in asset price volatility
• Detecting change-points for shifts in mean and variance using fuzzy classification maximum likelihood change-point algorithms
• VIFCP
• Multi-stage estimation for mean-shift model with the unknown number of change-points
• Sequential change point detection in molecular dynamics trajectories
• Identifying multiple changes for a functional data sequence with application to freeway traffic segmentation
• Detection of multiple change-points in the scale parameter of a gamma distributed sequence based on reversible jump MCMC
• Bayesian sieve methods: approximation rates and adaptive posterior contraction rates
• A novel group VIF regression for group variable selection with application to multiple change-point detection
• Data-driven estimation of change-points with mean shift
• A backward procedure for change-point detection with applications to copy number variation detection

Describes a project that uses

Uses Software

• changepoint
• bcp
• DNAcopy
• VIFCP

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