The multiple filter test for change point detection in time series

DOI10.1007/s00184-018-0672-1zbMath1415.62065OpenAlexW2884049490MaRDI QIDQ146399

Michael Messer, Gaby Schneider, Stefan Albert, Stefan Albert, Gaby Schneider, Michael Messer

Publication date: 18 July 2018

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-018-0672-1

zbMATH Keywords

Brownian motionmultiscalechange pointdistributional parametersMOSUM processparameter estimating

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Brownian motion (60J65) Non-Markovian processes: hypothesis testing (62M07)

Related Items (10)

Nonparametric Anomaly Detection on Time Series of Graphs ⋮ Special issue with papers from the ``3rd workshop on goodness-of-fit and change-point problems ⋮ The CUSUM statistics of change-point models based on dependent sequences ⋮ Hajek-Renyi-type inequality for \((\alpha, \beta)\)-mixing sequences and its application to change-point model ⋮ Improving detection of changepoints in short and noisy time series with local correlations: connecting the events in pixel neighbourhoods ⋮ BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES ⋮ A weighted U-statistic based change point test for multivariate time series ⋮ Two-stage data segmentation permitting multiscale change points, heavy tails and dependence ⋮ MFT ⋮ High dimensional change point inference: recent developments and extensions

Uses Software

• R
• HSMUCE

Cites Work

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• A local method for estimating change points: the “Hat-function”
• Multi‐Scale Detection of Variance Changes in Renewal Processes in the Presence of Rate Change Points
• A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
• Heterogeneous Change Point Inference
• Multiscale Change Point Inference

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