A comparison of single and multiple changepoint techniques for time series data
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Publication:2129576
DOI10.1016/j.csda.2022.107433MaRDI QIDQ2129576
Colin M. Gallagher, Robert B. Lund, Rebecca Killick, Xuesheng Shi
Publication date: 22 April 2022
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.01960
likelihood ratio test; Brownian bridge; minimum description length; ARMA models; binary segmentation; CUSUM tests; AMOC techniques; one-step-ahead prediction residuals; penalized likelihoods; wild binary segmentation
62-XX: Statistics
Uses Software