Parametric statistical change point analysis
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Parametric hypothesis testing (62F03) Point estimation (62F10) Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05)
This work is concerned with a posteriori methods of parametric statistical change point analysis. Chapter 2 deals with the univariate normal model mainly via the likelihood-ratio procedure, culminating in the presentation and proof of L. Horváth's main asymptotic null distribution result versus the alternative when the mean and variance may both change at most once [cf. \textit{L. Horvárth}, Ann. Stat. 21, No. 2, 671-680 (1993; Zbl 0778.62016)]. \textit{L. Yu. Vostrikova} [Sov. Math., Dokl. 24, 55-59 (1981); translation from Dokl. Akad. Nauk SSSR 259, 270-274 (1981; Zbl 0487.62072)] proposed a method, known as the binary segmentation procedure, and proved its consistency. This binary segmentation procedure has the merit of detecting the number of change points and their positions simultaneously, thus saving quite a bit of computation time. This procedure is summarized in Section 1.3, and is recommended throughout, whenever applicable, like, e.g., in the case of the just mentioned situation when, initially, it is hypothesized that the mean and variance of a normal distribution may both change at most once only. Just like the likelihood-ratio procedure, \textit{H. Akaike}'s maximum likelihood based information criterion approach [2nd Int. Symp. Inform. Theory, Tsahkadsor 1971, 267-281 (1973; Zbl 0283.62006)] is also utilized in Chapter 2, as well as throughout. Chapter 3 deals with the Multivariate Normal Model along the mentioned lines. Chapter 4 discusses the change point problem for Simple Linear Regression Models, as well as for Multiple Linear Regression Models by using the already mentioned lines of investigation, as well as via using the Schwarz information criterion [\textit{G. Schwarz}, Ann. Stat. 6, 461-464 (1978; Zbl 0379.62005)], a modification of the Akaike information criterion, which reduces computations in comparison with the likelihood-ratio procedure approach and, in contrast with Akaike's original notion, also gives an asymptotically consistent estimate of the order of the true model. The error terms are assumed to be uncorrelated \(N(0,\sigma^2)\) r.v.'s with \(\sigma^2\) unknown. The Bayesian approach is also used in Chapter 4, as well as in Chapter 5, which deals with the Gamma Model. The Exponential Model is studied on its own in Chapter 6, while Chapter 7 studies the Binomial and Poisson models. Illustrative examples and useful numerical tables are provided throughout the book. For further recent studies on change-point problems, the interested reader is referred to two books of \textit{B.E. Brodskij} and \textit{B.S. Darkhovskij}, ``Nonparametric Methods in Change-Point Problems. (1993; Zbl 0779.62031), and ``Nonparametric Statistical Diagnoses: Problems and Methods. (2000) and to \textit{M. Csörgő} and \textit{L. Horváth}, ``Limit Theorems in Change-Point Analysis. (1997; Zbl 0884.62023). The latter book deals with a posteriori parametric and nonparametric methods of change-point analysis, while the books of Brodskij and Darkhovskij study a posteriori and sequential methods of nonparametric change-point analysis.
- scientific article; zbMATH DE number 1688529
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- Parametric statistical change point analysis. With applications to genetics, medicine, and finance
- Some nonparametric methods for changepoint problems
- Nonparametric statistical procedures for the changepoint problem
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- Estimations and Tests in Change-Point Models
- A Note on Non‐Parametric Tests for the Change‐Point Problem
- Detecting change-points in multidimensional stochastic processes
- A new multiple testing method in the dependent case
- Mini-workshop: Time series with sudden structural changes. Abstracts from the mini-workshop held February 24 -- March 1, 2008.
- Change point analysis of a Gaussian model
- Serial rank statistics for detection of changes.
- Parameter change tests for ARMA-GARCH models
- Exact post-selection inference for the generalized Lasso path
- A semiparametric maximum likelihood ratio test for the change point in copula models
- Multiple change-point detection: a selective overview
- Change-point detection in multinomial data with a large number of categories
- Asymptotically distribution free test for parameter change in a diffusion process model
- On the strong approximation of bootstrapped empirical copula processes with applications
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
- A wavelet-based approach for detecting changes in second order structure within nonstationary time series
- Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
- Asymptotic properties of semiparametric \(M\)-estimators with multiple change points
- Empirical likelihood for change point detection in autoregressive models
- Recent progress in parameter change test for integer-valued time series models
- Testing mean changes by maximal ratio statistics
- Variance change point detection for fractional Brownian motion based on the likelihood ratio test
- A Bayesian inference to estimate change point for traffic intensity in M/M/1 queueing model
- Change point detection and estimation methods under gamma series of observations
- Doubly paired change-point analysis
- Regression models for change point data in extremes
- On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data
- A point process driven multiple change point model: a robust resistant approach
- Strong approximations for the \(p\)-fold integrated empirical process with applications to statistical tests
- Change-point problems: bibliography and review
- Confidence estimation via the parametric bootstrap in logistic joinpoint regression
- Convergence in distribution of multiple change point estimators
- Detection of multiple change-points in multivariate time series
- Test for parameter change based on the estimator minimizing density-based divergence meas\-ures
- Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
- Rejoinder on: ``Extensions of some classical methods in change point analysis
- A quasi-Bayesian change point detection with exchangeable weights
- -divergence based procedure for parametric change-point problems
- Multiscale change point detection via gradual bandwidth adjustment in moving sum processes
- scientific article; zbMATH DE number 1688529 (Why is no real title available?)
- Bayesian multiple changepoints detection for the power law process with binary segmentation procedures
- Parametric statistical change point analysis. With applications to genetics, medicine, and finance
- Epidemic Change Model for the Exponential Family
- Parallelization of a Common Changepoint Detection Method
- scientific article; zbMATH DE number 4161902 (Why is no real title available?)
- A Likelihood Integrated Method for Exploratory Graphical Analysis of Change Point Problem with Directional Data
- An Application of EM Algorithm to a Change-Point Problem
- A Bayesian analysis of the change-point problem for directional data
- A power study ofk-linear-r-ahead recursive residuals test for change-point in finite sequences
- Change point analysis for generalized lambda distribution
- On general bootstrap of empirical estimator of a semi-Markov kernel with applications
- Change-point detection in multinomial data using phi-divergence test statistics
- Feature selection when there are many influential features
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- Statistical inference of covariance change points in gaussian model
- Schwarz information criterion based tests for a change-point in regression models
- Covariates in multipath change-point problems: Modelling and consistency of the MLE
- Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points
- An ANOVA-type test for multiple change points
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- Applications of asymptotic inference in segmented line regression
- Uniform asymptotic normality of weighted sums of short-memory linear processes
- A Bayesian approach to inference about a change point model with application to DNA copy number experimental data
- Empirical likelihood ratio test for a mean change point model with a linear trend followed by an abrupt change
- Detection of multiple change-points in multivariate data
- On the estimation of change points in the Beer-Lambert law problem
- Bayesian P-splines and advanced computing in R for a changepoint analysis on spatio-temporal point processes
- A Bayesian wavelet approach to estimation of a change-point in a nonlinear multivariate time series
- Some applications of the strong approximation of the integrated empirical copula processes
- Binary time series models in change point detection tests
- Testing for a change point in a sequence of exponential random variables with repeated values
- Quantifying the uncertainty in change points
- Robustness of the likelihood ratio test for detection and estimation of a mean change point in a sequence of elliptically contoured observations
- Test for Parameter Change in Linear Processes Based on Whittle's Estimator
- A Bayesian approach to the statistical analysis of a smooth-abrupt change point model
- Multiscale change point inference. With discussion and authors' reply
- Comments on: ``Extensions of some classical methods in change point analysis
- Multipartition model for multiple change point identification
- On spline regression under Gaussian subordination with long memory
- Consistent multiple testing for change points
- Asymptotic properties of maximum likelihood estimators in models with multiple change points
- Asymptotics of trimmed CUSUM statistics
- Change point detection in scale family distributions
- Utilization of change point detection based on information criterion for monitoring flatness data
- The changing landscape of cyber risk: an empirical analysis of loss severity and tail dynamics
- Empirical likelihood change point detection in quantile regression models
- PCA-uCPD: an ensemble method for multiple change-point detection in moderately high-dimensional data
- Bayesian uncertainty quantification and structure detection for multiple change points models
- Change point detection using Bayesian adaptive LASSO quantile regression
- Z-process method for change point problems in time series
- Detecting test speededness using responses and/or response times: change point analysis approaches based on Schwarz information criterion
- A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models
- Empirical likelihood ratio test for the change-point problem
- Recent results in ridge regression methods
- Detecting non-simultaneous changes in means of vectors
- Simultaneous change point analysis and variable selection in a regression problem
- Non-iterative sampling-based Bayesian methods for identifying changepoints in the sequence of cases of haemolytic uraemic syndrome
- Multiple change-point detection of multivariate mean vectors with the Bayesian approach
- Multiple change-point estimation with U-statistics
- Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences
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