Multiple change-point detection for non-stationary time series using wild binary segmentation

DOI10.5705/SS.202015.0262MaRDI QIDQ137162zbMATH OpenOpenAlexFDO

Authors Karolos Korkas, Piotr Fryzlewicz, Karolos K. Korkas, P. Fryzlewicz

Publication date 2017

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/64863/8/Fryzlewicz_Multiple%20change-point%20detection_2017_published%20LSERO.pdf

zbMATH Keywords

binary segmentationchange-pointslocally stationary wavelet processesnon-stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

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Cited in

(15)

• Seeded binary segmentation: a general methodology for fast and optimal changepoint detection
• Short communication: Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection
• Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
• Detection of multiple change-points in the scale parameter of a gamma distributed sequence based on reversible jump MCMC
• Multiple change point detection and validation in autoregressive time series data
• Change-point analysis of time series with evolutionary spectra
• wbsts
• Detection of Multiple Structural Breaks in Large Covariance Matrices
• Ensemble binary segmentation for irregularly spaced data with change-points
• Wild binary segmentation for multiple change-point detection
• Detection of multiple change points for linear processes under negatively super-additive dependence
• Asymptotic properties of semiparametric \(M\)-estimators with multiple change points
• Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
• Data-driven estimation of change-points with mean shift
• Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection

Describes a project that uses

Uses Software

• wbsts
• wbs
• CRAN
• R

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