Computationally Efficient Off-Line Joint Change Point Detection in Multiple Time Series

DOI10.1109/TSP.2018.2880669MaRDI QIDQ4628174zbMATH OpenOpenAlexWikidataFDO

Authors Markus Eriksson, Tomas Olofsson

Publication date 6 March 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2018.2880669

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Detection theory in information and communication theory (94A13)

Cited in

(1)

• BayesProject: fast computation of a projection direction for multivariate changepoint detection

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