Data Segmentation for Time Series Based on a General Moving Sum Approach
From MaRDI portal
Abstract: In this paper we propose new methodology for the data segmentation, also known as multiple change point problem, in a general framework including classic mean change scenarios, changes in linear regression but also changes in the time series structure such as in the parameters of Poisson-autoregressive time series. In particular, we derive a general theory based on estimating equations proving consistency for the number of change points as well as rates of convergence for the estimators of the locations of the change points. More precisely, two different types of MOSUM (moving sum) statistics are considered: A MOSUM-Wald statistic based on differences of local estimators and a MOSUM-score statistic based on a global estimator. The latter is usually computationally less involved in particular in non-linear problems where no closed form of the estimator is known such that numerical methods are required. Finally, we evaluate the methodology by means of simulated data as well as using some geophysical well-log data.
Cited in
(5)- Bivariate change point detection in movement direction and speed
- Moving sum procedure for multiple change point detection in large factor models
- Estimation of change points for non-linear (auto-)regressive processes using neural network functions
- Tensor changepoint detection and eigenbootstrap
- Nonparametric data segmentation in multivariate time series via joint characteristic functions
This page was built for publication: Data Segmentation for Time Series Based on a General Moving Sum Approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6405073)
