Multiple change point detection and validation in autoregressive time series data

DOI10.1007/s00362-020-01198-wzbMath1452.62662arXiv1912.07775OpenAlexW3042240984MaRDI QIDQ2208378

lijing Ma, Andrew J. Grant, Georgy Sofronov

Publication date: 2 November 2020

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.07775

zbMATH Keywords

autoregressive time serieschangepoint detectionlikelihood ratio scan statisticsmultiple testing problems

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Paired and multiple comparisons; multiple testing (62J15)

Related Items (4)

On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations ⋮ Epidemic changepoint detection in the presence of nuisance changes ⋮ Data-driven estimation of change-points with mean shift ⋮ Editorial for the special issue: Change point detection

Uses Software

• wbs
• FDRSeg
• wbsts
• AR1seg

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