Nonparametric changepoint detection for time series

DOI10.1002/PAMM.200310211MaRDI QIDQ3061524zbMATH OpenOpenAlexFDO

Authors Jürgen Franke, G. Kroisandt

Publication date 15 December 2010

Published in PAMM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/pamm.200310211

zbMATH Keywords

autoregression functions

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cited in

(16)

• Mini-workshop: Time series with sudden structural changes. Abstracts from the mini-workshop held February 24 -- March 1, 2008.
• Use of fuzzy statistical technique in change periods detection of nonlinear time series
• Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
• Nuisance-parameter-free changepoint detection in non-stationary series
• Time dependent neural network models for detecting changes of state in complex processes: applications in earth sciences and astronomy.
• Change-point detection in time-series data by relative density-ratio estimation
• Novel methodology of change-points detection for time series with arbitrary generating mechanisms
• Nonparametric multiple change point estimation in highly dependent time series
• A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis
• A Scale‐space Approach for Detecting Non‐stationarities in Time Series
• Nonparametric change point detection for periodic time series
• A multivariate descriptor method for change-point detection in nonlinear time series
• Nonparametric multiple change point estimation in highly dependent time series
• Micro–Macro Changepoint Inference for Periodic Data Sequences
• Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise
• Change point detection via feedforward neural networks with theoretical guarantees

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