An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection

DOI10.1081/SAC-120017494MaRDI QIDQ4707009zbMATH OpenOpenAlexWikidataFDO

Authors Valentina G. Moskvina, A. Zhigljavsky

Publication date 4 June 2003

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sac-120017494

zbMATH Keywords

Change-point detection, Singular-spectrum analysis, Sequential algorithm, Singular value decomposition

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• Distribution of random quadratic forms arising in singular-spectrum analysis
• Extracting qualitative dynamics from experimental data
• scientific article; zbMATH DE number 9266 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Linear Statistical Inference and its Applications
• Reliable detection of faults in measurement systems

Cited in

(23)

• Multiscale spectral analysis for detecting short and long range change points in time series
• Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
• Approximations for the boundary crossing probabilities of moving sums of random variables
• Change-point detection in time-series data by relative density-ratio estimation
• Constrained motif discovery in time series
• scientific article; zbMATH DE number 3905698 (Why is no real title available?)
• A study of singular spectrum analysis with global optimization techniques
• Sequential change point detection in molecular dynamics trajectories
• Sequential change‐point detection based on direct density‐ratio estimation
• Approximations for the boundary crossing probabilities of moving sums of normal random variables
• Multivariate singular spectrum analysis for forecasting revisions to real-time data
• Tourist number prediction of historic buildings by singular spectrum analysis
• Shape-based BS algorithm for multiple change-points detection
• Density-difference estimation
• Direct Learning of Sparse Changes in Markov Networks by Density Ratio Estimation
• Functional singular spectrum analysis
• A data-driven framework for learning hybrid dynamical systems
• Particularities and commonalities of singular spectrum analysis as a method of time series analysis and signal processing
• An enhanced version of the SSA-HJ-biplot for time series with complex structure
• Detection of changes in non-linear dynamics for time series based on the theory of \(\mathrm{KM}_2 \mathrm O\)-Langevin equations
• Algebraic change-point detection
• Predicting daily exchange rate with singular spectrum analysis
• Singular spectrum analysis based on the minimum variance estimator

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