Short communication: Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection

DOI10.1007/s42952-020-00081-6zbMath1485.62125OpenAlexW3087210531MaRDI QIDQ2131955

Xueheng Shi, Robert B. Lund

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-020-00081-6

zbMATH Keywords

binary segmentationwild binary segmentationmBICsteepest-drop to low levels

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

A comparison of single and multiple changepoint techniques for time series data, Autocovariance estimation in the presence of changepoints

Uses Software

• wbs
• GA
• AR1seg

Cites Work

• Wild binary segmentation for multiple change-point detection
• A robust approach for estimating change-points in the mean of an \(\mathrm{AR}(1)\) process
• Univariate mean change point detection: penalization, CUSUM and optimality
• Multiple changepoint detection with partial information on changepoint times
• Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
• A Modified Bayes Information Criterion with Applications to the Analysis of Comparative Genomic Hybridization Data
• Structural Break Estimation for Nonstationary Time Series Models