Nonparametric multiple change point estimation in highly dependent time series

DOI10.1007/978-3-642-40935-6_27MaRDI QIDQ2859234zbMATH OpenOpenAlexFDO

Authors Azadeh Khaleghi, Daniil Ryabko

Publication date 6 November 2013

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.1515

zbMATH Keywords

change-point analysisconsistencystationary ergodic time seriesunsupervised learning

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Learning and adaptive systems in artificial intelligence (68T05)

Abstract: Given a heterogeneous time-series sample, the objective is to find points in time (called change points) where the probability distribution generating the data has changed. The data are assumed to have been generated by arbitrary unknown stationary ergodic distributions. No modelling, independence or mixing assumptions are made. A novel, computationally efficient, nonparametric method is proposed, and is shown to be asymptotically consistent in this general framework. The theoretical results are complemented with experimental evaluations.

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• Novel methodology of change-points detection for time series with arbitrary generating mechanisms
• Semiparametric method for detecting multiple change points model in financial time series
• Change points in heavy‐tailed multivariate time series: Methods using precision matrices
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